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{name} Model Equation

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Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	-0.0559	-1.53
αARCH	0.1517	2.90***
βGARCH	0.9649	51.42***
γleverage	0.0130	0.34

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0559	-1.53
α ARCH Response to squared shocks	0.1517	2.90***
β GARCH Volatility persistence	0.9649	51.42***
γ leverage Additional response to negative shocks	0.0130	0.34

V-Lab

US Dollar to Philippine Peso EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Philippine Peso Analyses