Peruvian New Sol GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, June 15th, 2026
1 Day
7.99%
decreased by 0.27%
1 Week
8.01%
decreased by 0.25%
1 Month
8.10%
decreased by 0.16%
Analysis last updated: Sunday, June 14, 2026 at 01:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0007 | 4.39 | |
| 0.0782 | 15.89 | |
| 0.9333 | 347.20 | |
| -0.0229 | -2.91 |
Estimation Period:
Jan 5, 1996 to Jun 12, 2026
Jan 5, 1996 to Jun 12, 2026
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