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

V-Lab

|

V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:3.86% (-0.10%)

Analysis last updated: Sunday, December 3, 2023 at 02:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5610	6.38
$α$	0.0697	8.77
$β$	0.9007	83.41
$γ_{1}$	0.0374	5.18
$γ_{2}$	-0.0622	-5.99
$γ_{3}$	0.0427	6.00
$γ_{4}$	-0.0244	-4.86

Estimation Period:
Jan 31, 2001 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts