V-Lab
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 ·

All

graph of Peruvian New Sol SGARCH
paramt-stat
ω77.89770.09
α0.58624.74
β0.41029.63
γ1-20.7510-0.44
γ248.33020.38
γ3-25.2392-0.16
γ4-26.3953-0.22
γ565.75021.67
γ6-89.9082-17.57
γ784.267121.48
γ8-51.6346-7.51
γ910.25530.28
γ1025.16650.25
Estimation Period:
Jan 5, 1996 to Jan 27, 2023
Impact of return on volatility tomorrow
Volatility Forecasts