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 Tuesday, October 14th, 2025:5.15% (-0.12%)

Analysis last updated: Monday, October 13, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.7994	6.93
$α$	0.0701	9.06
$β$	0.8955	82.01
$γ_{1}$	0.0659	6.80
$γ_{2}$	-0.1023	-7.11
$γ_{3}$	0.0535	5.32
$γ_{4}$	-0.0156	-1.68
$γ_{5}$	-0.0057	-0.83

Estimation Period:
Jan 31, 2001 to Oct 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts