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

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V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 15th, 2025:4.25% (-0.05%)

Analysis last updated: Friday, December 12, 2025 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7919	7.00
$α$	0.0704	9.06
$β$	0.8944	80.93
$γ_{1}$	0.0645	6.85
$γ_{2}$	-0.1006	-7.22
$γ_{3}$	0.0536	5.53
$γ_{4}$	-0.0169	-1.90
$γ_{5}$	-0.0044	-0.67

Estimation Period:
Jan 31, 2001 to Dec 12, 2025

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