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, May 12th, 2025:8.88% (-0.01%)

Analysis last updated: Friday, May 9, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	20.8672	0.07
$α$	0.5410	1.28
$β$	0.4501	20.66
$γ_{1}$	7.8322	0.05
$γ_{2}$	-9.7491	-0.05
$γ_{3}$	-7.4520	-0.13
$γ_{4}$	29.1465	5.38
$γ_{5}$	-36.6309	-25.76
$γ_{6}$	27.0302	27.32
$γ_{7}$	-16.5365	-8.25
$γ_{8}$	9.8918	2.70
$γ_{9}$	-4.9453	-1.50

Estimation Period:
Jan 5, 1996 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts