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 Wednesday, February 19th, 2025:6.43% (-0.03%)

Analysis last updated: Tuesday, February 18, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.1648	19.51
$β$	0.4451	23.83
$γ$	0.0158	0.51
$λ_{1}$	0.0174	0.12
$λ_{2}$	0.9997	1.60
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 15, 1991 to Feb 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts