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, April 27th, 2026
1 Day
9.88%
increased by 0.07%
1 Week
9.90%
increased by 0.09%
1 Month
9.97%
increased by 0.16%
Analysis last updated: Sunday, April 26, 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 | 4.37 | |
| 0.0772 | 16.07 | |
| 0.9338 | 345.84 | |
| -0.0218 | -2.82 |
Estimation Period:
Jan 5, 1996 to Apr 24, 2026
Jan 5, 1996 to Apr 24, 2026
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