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V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of US Dollar to Philippine Peso GARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

May 18, 1992 to Jul 10, 2026

Model 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

ParameterValuet-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