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

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V-Lab

Peruvian New Sol Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:8.50% (+2.76%)

Analysis last updated: Friday, January 27, 2023, 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	14.4080	0.14
$α$	0.5168	2.65
$β$	0.4762	85.73
$γ_{1}$	4.7642	0.13
$γ_{2}$	-4.3227	-0.09
$γ_{3}$	-10.5347	-0.85
$γ_{4}$	30.0494	9.67
$γ_{5}$	-38.3350	-40.66
$γ_{6}$	29.7649	36.17
$γ_{7}$	-17.1984	-23.98
$γ_{8}$	7.2915	20.01

Estimation Period:
Jan 5, 1996 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts