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

V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, July 2nd, 2025:6.25% (-0.28%)

Analysis last updated: Tuesday, July 1, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8350	6.95
$α$	0.0718	9.06
$β$	0.8932	80.15
$γ_{1}$	0.0686	6.86
$γ_{2}$	-0.1060	-7.11
$γ_{3}$	0.0546	5.23
$γ_{4}$	-0.0163	-1.69
$γ_{5}$	-0.0047	-0.66

Estimation Period:
Jan 31, 2001 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts