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

V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:4.64% (-0.11%)

Analysis last updated: Friday, April 18, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8520	6.94
$α$	0.0722	9.04
$β$	0.8928	79.75
$γ_{1}$	0.0703	6.87
$γ_{2}$	-0.1083	-7.08
$γ_{3}$	0.0552	5.12
$γ_{4}$	-0.0163	-1.64
$γ_{5}$	-0.0044	-0.60

Estimation Period:
Jan 31, 2001 to Apr 18, 2025

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Volatility Forecasts

Volatility Forecasts