V-Lab
V-Lab

Peruvian New Sol Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Monday, January 30th, 2023:8.50% (+2.76%)

Analysis last updated: Friday, January 27, 2023, 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Peruvian New Sol S0GARCH
paramt-stat
ω14.40800.14
α0.51682.65
β0.476285.73
γ14.76420.13
γ2-4.3227-0.09
γ3-10.5347-0.85
γ430.04949.67
γ5-38.3350-40.66
γ629.764936.17
γ7-17.1984-23.98
γ87.291520.01
Estimation Period:
Jan 5, 1996 to Jan 27, 2023
Impact of return on volatility tomorrow
Volatility Forecasts