V-Lab: Philippine Peso Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Philippine Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:4.49% (+0.13%)

Analysis last updated: Tuesday, October 3, 2023 at 07:03 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.9676	6.60
$α$	0.0711	8.86
$β$	0.8984	85.04
$γ_{1}$	0.0850	6.51
$γ_{2}$	-0.1260	-6.33
$γ_{3}$	0.0555	3.87
$γ_{4}$	-0.0138	-0.99
$γ_{5}$	0.0124	0.70

Estimation Period:
Jan 31, 2001 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts