V-Lab: Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:4.44% (-0.10%)

Analysis last updated: Friday, May 9, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8450	6.95
$α$	0.0715	9.02
$β$	0.8936	80.12
$γ_{1}$	0.0697	6.87
$γ_{2}$	-0.1075	-7.10
$γ_{3}$	0.0551	5.17
$γ_{4}$	-0.0165	-1.68
$γ_{5}$	-0.0043	-0.59

Estimation Period:
Jan 31, 2001 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts