V-Lab
Peruvian New Sol Spline-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, September 28th, 2026
1 Day
1.60%
decreased by 0.72%
1 Week
1.60%
decreased by 0.72%
1 Month
1.60%
decreased by 0.72%
Analysis last updated: Friday, September 25, 2026 at 09:12 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 5, 1996 to Sep 25, 2026Model Insight
Estimated persistence of 1.000 is at or above 1 (non-stationary): volatility shocks do not decay and the long-run variance is undefined, so long-horizon forecasts should be treated with caution.
τ
Spline-GARCH Model
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High persistence: persistence 1.000 ≥ 1, shocks do not decay
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.1214 | |
| αARCH | 0.5332 | |
| βGARCH | 0.4668 |
Spline Coefficients
K=8
| γ1 | 0.3710 | |
| γ2 | -2.5885 | |
| γ3 | 5.8422 | |
| γ4 | -5.4155 | |
| γ5 | 1.7919 | |
| γ6 | 0.0604 | |
| γ7 | -0.1015 | |
| γ8 | 0.1259 |
1.000
Persistence-
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.1214 | |
α ARCH Response to squared shocks | 0.5332 | |
β GARCH Volatility persistence | 0.4668 |
Spline Coefficients
K=8
| γ1 | 0.3710 | |
| γ2 | -2.5885 | |
| γ3 | 5.8422 | |
| γ4 | -5.4155 | |
| γ5 | 1.7919 | |
| γ6 | 0.0604 | |
| γ7 | -0.1015 | |
| γ8 | 0.1259 |
Persistence:
1.000
Half-life:
-
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