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{name} Model Equation

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Param	Value	t-stat
mwindow	56
αARCH	0.1275	4.14***
βGARCH	0.7828	20.86***
γleverage	-0.0459	-1.50
λ₁tau intercept	0.0187	1.18
λ₂forecast adj.	0.6780	2.31**
λ₃tau persistence	0.1531	0.38

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1275	4.14***
β GARCH Volatility persistence	0.7828	20.86***
γ leverage Additional response to negative shocks	-0.0459	-1.50
λ₁ tau intercept Baseline long-term coefficient	0.0187	1.18
λ₂ forecast adj. Forecast performance sensitivity	0.6780	2.31**
λ₃ tau persistence Long-term factor persistence	0.1531	0.38

V-Lab

US Dollar to Philippine Peso MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Philippine Peso Analyses