Deutsche Bank FX Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

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CBOE Russell 2000 Volatility Index

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CBOE S&P 500 6-Month Volatility Index

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CBOE Skew Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.6436
α ARCH Response to squared shocks	0.5471
β GARCH Volatility persistence	0.4529

γ₁	-0.0728
γ₂	0.7879
γ₃	-11.7579
γ₄	36.3753
γ₅	-58.1149
γ₆	51.0431
γ₇	-16.7028
γ₈	1.6603
γ₉	1.4859

V-Lab

Peruvian New Sol Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Peruvian New Sol Analyses