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

Skip to main content

V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 3rd, 2025:5.24% (-0.20%)

Analysis last updated: Saturday, November 1, 2025 at 12:37 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7949	6.96
$α$	0.0704	9.06
$β$	0.8947	81.35
$γ_{1}$	0.0652	6.82
$γ_{2}$	-0.1014	-7.15
$γ_{3}$	0.0534	5.40
$γ_{4}$	-0.0158	-1.74
$γ_{5}$	-0.0055	-0.81

Estimation Period:
Jan 31, 2001 to Oct 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts