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

V-Lab

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V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:4.63% (+0.41%)

Analysis last updated: Tuesday, February 4, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8657	6.89
$α$	0.0728	9.06
$β$	0.8926	79.80
$γ_{1}$	0.0719	6.83
$γ_{2}$	-0.1102	-6.99
$γ_{3}$	0.0551	4.93
$γ_{4}$	-0.0153	-1.48
$γ_{5}$	-0.0051	-0.67

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts