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, December 4th, 2023:7.11% (-0.79%)

Analysis last updated: Friday, December 1, 2023 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.2573	0.06
$α$	0.5087	8.26
$β$	0.4913	25.19
$γ_{1}$	6.2010	0.06
$γ_{2}$	-7.2452	-0.05
$γ_{3}$	-0.7468	-0.02
$γ_{4}$	-10.2746	-0.71
$γ_{5}$	46.5965	4.85
$γ_{6}$	-70.0810	-18.34
$γ_{7}$	56.2664	56.50
$γ_{8}$	-28.3859	-13.16
$γ_{9}$	8.9649	0.95
$γ_{10}$	-1.6098	-0.09

Estimation Period:
Jan 5, 1996 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts