US Dollar to Philippine Peso GARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
4.21%
increased by 0.08%
1 Week
4.25%
increased by 0.12%
1 Month
4.39%
increased by 0.26%
Analysis last updated: Monday, July 13, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 18, 1992 to Jul 10, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 71 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
σ
GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0013 | 8.06*** |
α ARCH Response to squared shocks | 0.0620 | 23.75*** |
β GARCH Volatility persistence | 0.9283 | 275.05*** |
Persistence:
0.990
Half-life:
71 days
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