V-Lab
Peruvian New Sol Zero Slope Spline-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Tuesday, September 8th, 2026
1 Day
27.74%
1 Week
38.87%
1 Month
66.90%
Analysis last updated: Monday, September 7, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 1996 to Sep 4, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 231049 trading days (~916.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Zero Slope Spline-GARCH Model
Tap to view equation
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0450 | 0.00 |
| αARCH | 0.4823 | 0.00 |
| βGARCH | 0.5177 | 0.00 |
| γ1 | 2.0321 | 0.00 |
| γ2 | -1.5873 | 0.00 |
| γ3 | -8.2601 | 0.00 |
| γ4 | 24.0373 | 0.00 |
| γ5 | -32.5481 | 0.00 |
| γ6 | 28.0397 | 0.01 |
| γ7 | -19.2792 | -0.02 |
| γ8 | 12.2205 | 0.01 |
| γ9 | -6.5225 | -0.02 |
1.000
Persistence231049d
Half-lifeZero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0450 | 0.00 |
α ARCH Response to squared shocks | 0.4823 | 0.00 |
β GARCH Volatility persistence | 0.5177 | 0.00 |
| γ1 | 2.0321 | 0.00 |
| γ2 | -1.5873 | 0.00 |
| γ3 | -8.2601 | 0.00 |
| γ4 | 24.0373 | 0.00 |
| γ5 | -32.5481 | 0.00 |
| γ6 | 28.0397 | 0.01 |
| γ7 | -19.2792 | -0.02 |
| γ8 | 12.2205 | 0.01 |
| γ9 | -6.5225 | -0.02 |
Persistence:
1.000
Half-life:
231049 days
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