Peruvian New Sol GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Wednesday, June 10th, 2026
1 Day
6.59%
increased by 1.57%
1 Week
6.62%
increased by 1.60%
1 Month
6.73%
increased by 1.71%
Analysis last updated: Tuesday, June 9, 2026 at 07:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0007 | 4.40 | |
| 0.0782 | 16.34 | |
| 0.9327 | 343.65 | |
| -0.0218 | -2.81 |
Estimation Period:
Jan 5, 1996 to Jun 5, 2026
Jan 5, 1996 to Jun 5, 2026
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