V-Lab: Philippine Peso Spline-GARCH Volatility Analysis

V-Lab

Philippine Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 4th, 2025:5.98% (-0.24%)

Analysis last updated: Thursday, July 3, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8561	7.00
$α$	0.0720	9.02
$β$	0.8928	79.60
$γ_{1}$	0.0703	7.02
$γ_{2}$	-0.1091	-7.28
$γ_{3}$	0.0581	5.30
$γ_{4}$	-0.0221	-1.89
$γ_{5}$	0.0085	0.52

Estimation Period:
Jan 31, 2001 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts