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

V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:6.28% (-0.24%)

Analysis last updated: Friday, August 29, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8110	6.93
$α$	0.0707	9.07
$β$	0.8947	81.31
$γ_{1}$	0.0668	6.81
$γ_{2}$	-0.1036	-7.10
$γ_{3}$	0.0538	5.27
$γ_{4}$	-0.0155	-1.65
$γ_{5}$	-0.0057	-0.80

Estimation Period:
Jan 31, 2001 to Aug 29, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts