V-Lab: Philippine Peso Spline-GARCH Volatility Analysis

V-Lab

Philippine Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 14th, 2025:5.13% (-0.16%)

Analysis last updated: Friday, July 11, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8511	7.05
$α$	0.0721	9.01
$β$	0.8921	78.93
$γ_{1}$	0.0698	7.05
$γ_{2}$	-0.1084	-7.31
$γ_{3}$	0.0578	5.33
$γ_{4}$	-0.0216	-1.87
$γ_{5}$	0.0070	0.43

Estimation Period:
Jan 31, 2001 to Jul 11, 2025

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Volatility Forecasts

Volatility Forecasts