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 Thursday, March 13th, 2025:4.69% (-0.14%)

Analysis last updated: Wednesday, March 12, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8803	6.98
$α$	0.0727	9.03
$β$	0.8922	79.26
$γ_{1}$	0.0728	7.00
$γ_{2}$	-0.1122	-7.18
$γ_{3}$	0.0581	5.07
$γ_{4}$	-0.0206	-1.71
$γ_{5}$	0.0061	0.38

Estimation Period:
Jan 31, 2001 to Mar 7, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts