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

V-Lab

| |

V-Lab

Peruvian New Sol Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:23.53% (+9.13%)

Analysis last updated: Tuesday, February 4, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	14.8748	0.32
$α$	0.5551	8.62
$β$	0.4431	31.65
$γ_{1}$	4.2767	0.06
$γ_{2}$	-2.6635	-0.03
$γ_{3}$	-13.5788	-0.62
$γ_{4}$	32.6154	12.95
$γ_{5}$	-35.7371	-35.29
$γ_{6}$	21.8731	21.82
$γ_{7}$	-10.5168	-13.04
$γ_{8}$	5.3181	0.37
$γ_{9}$	-2.0201	-0.07

Estimation Period:
Jan 5, 1996 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts