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

V-Lab

Peruvian New Sol GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:6.04% (-0.20%)

Analysis last updated: Friday, May 9, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0007	4.37
$α$	0.0780	15.63
$β$	0.9330	339.29
$γ$	-0.0220	-2.71

Estimation Period:
Jan 5, 1996 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts