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

V-Lab

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V-Lab

Philippine Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, March 24th, 2025:4.52% (+0.11%)

Analysis last updated: Friday, March 21, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8575	6.92
$α$	0.0724	9.05
$β$	0.8927	79.72
$γ_{1}$	0.0710	6.85
$γ_{2}$	-0.1091	-7.04
$γ_{3}$	0.0551	5.04
$γ_{4}$	-0.0158	-1.57
$γ_{5}$	-0.0047	-0.64

Estimation Period:
Jan 31, 2001 to Mar 21, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts