V-Lab: Peruvian New Sol GJR-GARCH Volatility Analysis

V-Lab

Peruvian New Sol GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, August 4th, 2025:9.37% (-0.26%)

Analysis last updated: Friday, August 1, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0007	4.35
$α$	0.0772	15.66
$β$	0.9336	342.48
$γ$	-0.0217	-2.71

Estimation Period:
Jan 5, 1996 to Aug 1, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts