V-Lab
V-Lab

Peruvian New Sol Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Monday, December 4th, 2023:7.11% (-0.79%)

Analysis last updated: Friday, December 1, 2023 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Peruvian New Sol S0GARCH
paramt-stat
ω0.25730.06
α0.50878.26
β0.491325.19
γ16.20100.06
γ2-7.2452-0.05
γ3-0.7468-0.02
γ4-10.2746-0.71
γ546.59654.85
γ6-70.0810-18.34
γ756.266456.50
γ8-28.3859-13.16
γ98.96490.95
γ10-1.6098-0.09
Estimation Period:
Jan 5, 1996 to Dec 1, 2023
Impact of return on volatility tomorrow
Volatility Forecasts