V-Lab
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 ·

All

graph of Peruvian New Sol SGARCH
paramt-stat
ω18.63691.93
α0.5514381.85
β0.4485327.82
γ10.06330.60
γ2-0.0962-0.55
γ3-0.2174-0.91
γ4-17.0145-39.88
γ561.7051134.70
γ6-101.1630-114.00
γ7109.174379.89
γ8-80.4435-90.27
γ936.740115.52
γ10-12.9378-5.70
Estimation Period:
Jan 5, 1996 to Sep 29, 2023
Impact of return on volatility tomorrow
Volatility Forecasts