V-Lab: Peruvian New Sol GARCH Volatility Analysis

V-Lab

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V-Lab

Peruvian New Sol GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 12th, 2021:16.63% (-1.46%)

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0014	16.36
$α$	0.1889	40.63
$β$	0.8111	212.39

Estimation Period:
Jan 5, 1996 to May 7, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts