V-Lab: Peruvian New Sol Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Peruvian New Sol Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 24th, 2024:14.91% (+8.70%)

Analysis last updated: Tuesday, April 23, 2024 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.1085	1084750.00
$α$	0.5072	5071830.00
$β$	0.4928	4928170.00
$γ_{1}$	-0.5875	-5875310.00
$γ_{2}$	1.8425	18425180.00
$γ_{3}$	-2.1107	-21107400.00
$γ_{4}$	1.0911	10910770.00
$γ_{5}$	-0.5540	-5539970.00

Estimation Period:
Jan 5, 1996 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts