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

V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 23rd, 2025:6.48% (-0.20%)

Analysis last updated: Friday, June 20, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8336	6.95
$α$	0.0715	9.02
$β$	0.8935	80.11
$γ_{1}$	0.0686	6.86
$γ_{2}$	-0.1061	-7.12
$γ_{3}$	0.0547	5.24
$γ_{4}$	-0.0163	-1.70
$γ_{5}$	-0.0046	-0.65

Estimation Period:
Jan 31, 2001 to Jun 20, 2025

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Volatility Forecasts

Volatility Forecasts