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 Friday, July 17th, 2026
1 Day
5.60%
1 Week
5.63%
1 Month
5.76%
Analysis last updated: Thursday, July 16, 2026 at 07:43 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 1996 to Jul 10, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
Inverse leverage: Positive returns increase volatility 42% more than negative returns
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0007 | 4.37*** |
α ARCH Response to squared shocks | 0.0782 | 15.85*** |
β GARCH Volatility persistence | 0.9334 | 347.75*** |
γ leverage Additional response to negative shocks | -0.0231 | -2.92*** |
Persistence:
1.000
Half-life:
-
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