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

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V-Lab

Peruvian New Sol MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:5.87% (-0.20%)

Analysis last updated: Friday, December 20, 2024 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.1625	18.51
$β$	0.4532	24.57
$γ$	0.0187	0.61
$λ_{1}$	0.0175	0.12
$λ_{2}$	0.9976	1.63
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 15, 1991 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts