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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7418	6.95***
α ARCH Response to squared shocks	0.0714	9.29***
β GARCH Volatility persistence	0.8936	82.03***

γ₁	0.0589	6.69***
γ₂	-0.0930	-7.20***
γ₃	0.0523	5.90***
γ₄	-0.0193	-2.44**
γ₅	-0.0018	-0.31

V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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