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 Monday, June 2nd, 2025:4.40% (-1.73%)

Analysis last updated: Friday, May 30, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	9.7743	0.02
$α$	0.4593	0.71
$β$	0.5148	16.82
$γ_{1}$	2.9417	0.02
$γ_{2}$	-0.8504	-0.00
$γ_{3}$	-12.6241	-0.25
$γ_{4}$	27.9899	15.54
$γ_{5}$	-30.2574	-62.55
$γ_{6}$	18.3207	35.31
$γ_{7}$	-7.8981	-5.76
$γ_{8}$	3.0138	0.07
$γ_{9}$	-0.7865	-0.01

Estimation Period:
Jan 5, 1996 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts