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{name} Model Equation

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Param	Value	t-stat
mwindow	31
αARCH	0.1748	6.20***
βGARCH	0.4377	7.42***
γleverage	-0.0031	-0.06
λ₁tau intercept	0.0175	1.29
λ₂forecast adj.	0.9972	7.67***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1748	6.20***
β GARCH Volatility persistence	0.4377	7.42***
γ leverage Additional response to negative shocks	-0.0031	-0.06
λ₁ tau intercept Baseline long-term coefficient	0.0175	1.29
λ₂ forecast adj. Forecast performance sensitivity	0.9972	7.67***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Peruvian New Sol MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Peruvian New Sol Analyses