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 23rd, 2024:4.76% (-0.13%)

Analysis last updated: Friday, December 20, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8780	6.88
$α$	0.0725	9.03
$β$	0.8933	80.11
$γ_{1}$	0.0731	6.81
$γ_{2}$	-0.1116	-6.93
$γ_{3}$	0.0551	4.82
$γ_{4}$	-0.0148	-1.40
$γ_{5}$	-0.0054	-0.69

Estimation Period:
Jan 31, 2001 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts