V-Lab: Philippine Peso Spline-GARCH Volatility Analysis

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V-Lab

Philippine Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:5.83% (-0.15%)

Analysis last updated: Friday, January 27, 2023, 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5221	5.07
$α$	0.0718	8.21
$β$	0.8865	69.60
$γ_{1}$	0.0299	0.84
$γ_{2}$	0.0185	0.37
$γ_{3}$	-0.1132	-3.95
$γ_{4}$	0.0802	3.08
$γ_{5}$	0.0152	0.60
$γ_{6}$	-0.0699	-2.64
$γ_{7}$	0.1263	3.14

Estimation Period:
Jan 31, 2001 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts