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

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V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:4.79% (-0.17%)

Analysis last updated: Friday, January 27, 2023, 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6357	6.50
$α$	0.0691	8.64
$β$	0.9010	84.29
$γ_{1}$	0.0445	5.74
$γ_{2}$	-0.0726	-6.50
$γ_{3}$	0.0468	6.23
$γ_{4}$	-0.0245	-4.72

Estimation Period:
Jan 31, 2001 to Jan 27, 2023

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