V-Lab: US Dollar to Peruvian New Sol MF2-GARCH Volatility Analysis

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V-Lab

US Dollar to Peruvian New Sol MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 13th, 2024:8.50% (+0.55%)

Analysis last updated: Friday, May 10, 2024 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	31
$α$	0.1636	18.05
$β$	0.4435	23.91
$γ$	0.0253	0.78
$λ_{1}$	0.0173	0.12
$λ_{2}$	0.9995	1.57
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 15, 1991 to May 10, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts