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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

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	0.0000
αARCH	0.1276	21.97***
βGARCH	0.9990	1,110.00***
νDF	6.9516	6.01***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0000
α ARCH Response to squared shocks	0.1276	21.97***
β GARCH Volatility persistence	0.9990	1,110.00***
ν DF Student-t tail thickness	6.9516	6.01***

V-Lab

Peruvian New Sol GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Peruvian New Sol Analyses