V-Lab: Philippine Peso Spline-GARCH Volatility Analysis

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V-Lab

Philippine Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 23rd, 2025:4.73% (+0.02%)

Analysis last updated: Wednesday, October 22, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8227	7.08
$α$	0.0711	9.00
$β$	0.8931	79.50
$γ_{1}$	0.0676	7.07
$γ_{2}$	-0.1057	-7.41
$γ_{3}$	0.0580	5.57
$γ_{4}$	-0.0239	-2.11
$γ_{5}$	0.0135	0.77

Estimation Period:
Jan 31, 2001 to Oct 18, 2025

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Volatility Forecasts