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

V-Lab

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V-Lab

Peruvian New Sol Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 28th, 2024:7.01% (-3.45%)

Analysis last updated: Friday, October 25, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.3668	0.02
$α$	0.5770	0.97
$β$	0.4230	4.17
$γ_{1}$	-1.8332	-0.02
$γ_{2}$	7.1591	0.01
$γ_{3}$	-21.0083	-0.03
$γ_{4}$	40.9337	1.97
$γ_{5}$	-43.5854	-10.54
$γ_{6}$	26.7469	3.09
$γ_{7}$	-11.7896	-1.14
$γ_{8}$	3.7489	0.89
$γ_{9}$	-0.7187	-0.06

Estimation Period:
Jan 5, 1996 to Oct 25, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts