V-Lab: Peruvian New Sol Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Peruvian New Sol Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:7.54% (-3.47%)

Analysis last updated: Friday, August 29, 2025 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	10.9483	0.27
$α$	0.5492	6.79
$β$	0.4506	61.57
$γ_{1}$	7.8468	0.09
$γ_{2}$	-9.2575	-0.08
$γ_{3}$	-8.2803	-0.20
$γ_{4}$	29.4171	2.36
$γ_{5}$	-36.2311	-10.66
$γ_{6}$	25.7972	18.58
$γ_{7}$	-15.2678	-11.19
$γ_{8}$	9.6857	8.49
$γ_{9}$	-5.1713	-5.85

Estimation Period:
Jan 5, 1996 to Aug 29, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts