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, September 25th, 2023:6.70% (-0.02%)

Analysis last updated: Friday, September 22, 2023 at 07:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.1717	17.99
$β$	0.4085	22.07
$γ$	0.0343	1.01
$λ_{1}$	0.0172	0.11
$λ_{2}$	0.9994	1.47
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 15, 1991 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts