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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	-0.0750	-1.50
αARCH	0.2193	6.70***
βGARCH	0.9463	38.66***
γleverage	0.0203	0.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0750	-1.50
α ARCH Response to squared shocks	0.2193	6.70***
β GARCH Volatility persistence	0.9463	38.66***
γ leverage Additional response to negative shocks	0.0203	0.46

V-Lab

Peruvian New Sol EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Peruvian New Sol Analyses