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{name} Model Equation

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.0008	2.40**
αARCH	0.0642	7.74***
βGARCH	0.9358	68.32***
γleverage	-0.1231	-1.41
δpower	1.9512	6.26***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0008	2.40**
α ARCH Response to squared shocks	0.0642	7.74***
β GARCH Volatility persistence	0.9358	68.32***
γ leverage Additional response to negative shocks	-0.1231	-1.41
δ power Transformation power	1.9512	6.26***

V-Lab

Peruvian New Sol APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Peruvian New Sol Analyses