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 23rd, 2024:7.44% (+0.24%)

Analysis last updated: Friday, December 20, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	5.7589	1.43
$α$	0.5515	370.61
$β$	0.4479	331.26
$γ_{1}$	-0.0460	-0.25
$γ_{2}$	0.1906	0.50
$γ_{3}$	-6.6989	-15.84
$γ_{4}$	20.4336	52.12
$γ_{5}$	-23.5058	-44.76
$γ_{6}$	12.6787	21.25
$γ_{7}$	-4.0007	-10.58
$γ_{8}$	0.9929	5.34
$γ_{9}$	-0.0543	-0.56

Estimation Period:
Jan 5, 1996 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts