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{name} Model Equation

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Param	Value	t-stat
ωconst	1.7550	6.98***
αARCH	0.0711	9.28***
βGARCH	0.8941	82.51***

γ₁	0.0594	6.78***
γ₂	-0.0939	-7.27***
γ₃	0.0529	5.77***
γ₄	-0.0195	-2.02**
γ₅	-0.0029	-0.20

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7550	6.98***
α ARCH Response to squared shocks	0.0711	9.28***
β GARCH Volatility persistence	0.8941	82.51***

γ₁	0.0594	6.78***
γ₂	-0.0939	-7.27***
γ₃	0.0529	5.77***
γ₄	-0.0195	-2.02**
γ₅	-0.0029	-0.20

V-Lab

Philippine Peso Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Philippine Peso Analyses