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

V-Lab

Peruvian New Sol GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 17th, 2025:7.93% (-0.19%)

Analysis last updated: Wednesday, April 16, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0007	4.37
$α$	0.0779	15.60
$β$	0.9331	339.42
$γ$	-0.0220	-2.70

Estimation Period:
Jan 5, 1996 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts