V-Lab
Philippine Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, September 28th, 2026
1 Day
4.04%
decreased by 0.11%
1 Week
4.12%
decreased by 0.03%
1 Month
4.38%
increased by 0.23%
Analysis last updated: Sunday, September 27, 2026 at 05:21 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 31, 2001 to Sep 25, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 20 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.7358 | 6.93*** |
| αARCH | 0.0712 | 9.30*** |
| βGARCH | 0.8941 | 82.46*** |
Spline Coefficients
K=5
| γ1 | 0.0580 | 6.65*** |
| γ2 | -0.0919 | -7.19*** |
| γ3 | 0.0523 | 5.97*** |
| γ4 | -0.0202 | -2.61*** |
| γ5 | -0.0007 | -0.12 |
0.965
Persistence20d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.7358 | 6.93*** |
α ARCH Response to squared shocks | 0.0712 | 9.30*** |
β GARCH Volatility persistence | 0.8941 | 82.46*** |
Spline Coefficients
K=5
| γ1 | 0.0580 | 6.65*** |
| γ2 | -0.0919 | -7.19*** |
| γ3 | 0.0523 | 5.97*** |
| γ4 | -0.0202 | -2.61*** |
| γ5 | -0.0007 | -0.12 |
Persistence:
0.965
Half-life:
20 days
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