V-Lab
Peruvian New Sol AGARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, September 7th, 2026
1 Day
3.30%
decreased by 0.09%
1 Week
3.37%
decreased by 0.02%
1 Month
3.62%
increased by 0.23%
Analysis last updated: Sunday, September 6, 2026 at 01:48 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 1996 to Sep 4, 2026Model Insight
Estimated persistence of 1.003 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
σ
AGARCH Model
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High persistence: persistence 1.003 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0005 | 0.80 |
| αARCH | 0.0715 | 8.95*** |
| βGARCH | 0.9320 | 93.78*** |
| γleverage | -0.0602 | -1.23 |
1.003
Persistence-
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0005 | 0.80 |
α ARCH Response to squared shocks | 0.0715 | 8.95*** |
β GARCH Volatility persistence | 0.9320 | 93.78*** |
γ leverage Additional response to negative shocks | -0.0602 | -1.23 |
Persistence:
1.003
Half-life:
-
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