V-Lab: Peruvian New Sol Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Peruvian New Sol Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:6.43% (+1.16%)

Analysis last updated: Friday, July 26, 2024 at 07:19 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.5745	0.05
$α$	0.4621	1.42
$β$	0.5379	1.37
$γ_{1}$	-0.3180	-0.00
$γ_{2}$	0.8224	0.00
$γ_{3}$	-2.8379	-2.59
$γ_{4}$	-2.6663	-0.07
$γ_{5}$	27.5757	0.68
$γ_{6}$	-52.6514	-2.34
$γ_{7}$	52.1311	13.30
$γ_{8}$	-31.1882	-0.46
$γ_{9}$	10.8556	0.09
$γ_{10}$	-1.9876	-0.02

Estimation Period:
Jan 5, 1996 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts