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

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V-Lab

Peruvian New Sol Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2023:5.61% (+1.24%)

Analysis last updated: Wednesday, October 4, 2023 at 07:17 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	18.6369	1.93
$α$	0.5514	381.85
$β$	0.4485	327.82
$γ_{1}$	0.0633	0.60
$γ_{2}$	-0.0962	-0.55
$γ_{3}$	-0.2174	-0.91
$γ_{4}$	-17.0145	-39.88
$γ_{5}$	61.7051	134.70
$γ_{6}$	-101.1630	-114.00
$γ_{7}$	109.1743	79.89
$γ_{8}$	-80.4435	-90.27
$γ_{9}$	36.7401	15.52
$γ_{10}$	-12.9378	-5.70

Estimation Period:
Jan 5, 1996 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts