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 Tuesday, July 8th, 2025:3.74% (-1.47%)

Analysis last updated: Monday, July 7, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	22.5629	0.14
$α$	0.5154	2.20
$β$	0.4750	105.36
$γ_{1}$	6.2928	0.18
$γ_{2}$	-6.7711	-0.15
$γ_{3}$	-9.2046	-0.69
$γ_{4}$	28.6529	5.66
$γ_{5}$	-35.6932	-16.78
$γ_{6}$	27.0613	8.39
$γ_{7}$	-14.9621	-1.46
$γ_{8}$	4.0701	0.21
$γ_{9}$	1.6774	0.06

Estimation Period:
Jan 5, 1996 to Jul 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts