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 Monday, January 30th, 2023:19.88% (-0.66%)

Analysis last updated: Friday, January 27, 2023, 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	77.8977	0.09
$α$	0.5862	4.74
$β$	0.4102	9.63
$γ_{1}$	-20.7510	-0.44
$γ_{2}$	48.3302	0.38
$γ_{3}$	-25.2392	-0.16
$γ_{4}$	-26.3953	-0.22
$γ_{5}$	65.7502	1.67
$γ_{6}$	-89.9082	-17.57
$γ_{7}$	84.2671	21.48
$γ_{8}$	-51.6346	-7.51
$γ_{9}$	10.2553	0.28
$γ_{10}$	25.1665	0.25

Estimation Period:
Jan 5, 1996 to Jan 27, 2023

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Volatility Forecasts

Volatility Forecasts