V-Lab: Mexican Peso Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Mexican Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:13.67% (-0.65%)

Analysis last updated: Friday, April 26, 2024 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8113	3.25
$α$	0.1326	6.82
$β$	0.8288	40.45
$γ_{1}$	-0.0072	-0.12
$γ_{2}$	-0.0052	-0.06
$γ_{3}$	0.0042	0.09
$γ_{4}$	0.0667	2.08
$γ_{5}$	-0.1380	-5.12
$γ_{6}$	0.1598	5.30
$γ_{7}$	-0.1412	-3.90
$γ_{8}$	0.0867	2.30
$γ_{9}$	-0.0441	-0.94

Estimation Period:
May 31, 1995 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts