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 1st, 2025:5.63% (-2.36%)

Analysis last updated: Monday, June 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	20.7105	0.09
$α$	0.4550	0.78
$β$	0.4965	4.09
$γ_{1}$	7.3524	0.09
$γ_{2}$	-9.1271	-0.03
$γ_{3}$	-6.1610	-0.02
$γ_{4}$	25.5947	0.21
$γ_{5}$	-33.1186	-2.18
$γ_{6}$	24.2891	5.93
$γ_{7}$	-12.5405	-3.60
$γ_{8}$	2.9651	0.32
$γ_{9}$	1.7982	0.12

Estimation Period:
Jan 5, 1996 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts