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 Wednesday, February 19th, 2025:1.63% (-0.36%)

Analysis last updated: Tuesday, February 18, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	10.6657	0.16
$α$	0.5380	17.25
$β$	0.4618	24.61
$γ_{1}$	4.8332	0.04
$γ_{2}$	-3.3706	-0.02
$γ_{3}$	-12.5757	-0.40
$γ_{4}$	29.8146	5.39
$γ_{5}$	-32.0120	-22.26
$γ_{6}$	18.8274	20.75
$γ_{7}$	-8.7035	-13.09
$γ_{8}$	5.0133	2.24
$γ_{9}$	-2.4912	-0.59

Estimation Period:
Jan 5, 1996 to Feb 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts