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

V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 30th, 2025:4.97% (-0.04%)

Analysis last updated: Tuesday, July 29, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8273	7.01
$α$	0.0720	9.04
$β$	0.8921	79.19
$γ_{1}$	0.0678	6.90
$γ_{2}$	-0.1050	-7.19
$γ_{3}$	0.0546	5.34
$γ_{4}$	-0.0167	-1.79
$γ_{5}$	-0.0042	-0.61

Estimation Period:
Jan 31, 2001 to Jul 25, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts