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 Wednesday, April 22nd, 2026
1 Day
9.94%
decreased by 0.03%
1 Week
9.95%
decreased by 0.02%
1 Month
10.03%
increased by 0.06%
Analysis last updated: Tuesday, April 21, 2026 at 07:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0007 | 4.38 | |
| 0.0773 | 16.03 | |
| 0.9337 | 345.43 | |
| -0.0220 | -2.83 |
Estimation Period:
Jan 5, 1996 to Apr 17, 2026
Jan 5, 1996 to Apr 17, 2026
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