V-Lab: Peruvian New Sol MF2-GARCH Volatility Analysis

V-Lab

Peruvian New Sol MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:6.74% (-0.05%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.1664	20.50
$β$	0.4407	23.41
$γ$	0.0127	0.40
$λ_{1}$	0.0174	0.11
$λ_{2}$	0.9991	1.60
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 15, 1991 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts