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

V-Lab

Peruvian New Sol GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:8.78% (-0.29%)

Analysis last updated: Friday, August 29, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0007	4.36
$α$	0.0771	15.69
$β$	0.9337	342.63
$γ$	-0.0215	-2.70

Estimation Period:
Jan 5, 1996 to Aug 29, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts