V-Lab
V-Lab

Mexican Peso Spline-GARCH Volatility Analysis
Volatility Prediction for Thursday, March 28th, 2024:6.82% (-0.34%)

Analysis last updated: Wednesday, March 27, 2024 at 07:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Mexican Peso SGARCH
paramt-stat
ω0.87743.54
α0.13136.77
β0.830040.50
γ10.00720.13
γ2-0.0238-0.28
γ30.00910.19
γ40.06672.06
γ5-0.1395-5.07
γ60.16065.15
γ7-0.1397-3.77
γ80.08402.23
γ9-0.0452-0.96
Estimation Period:
May 31, 1995 to Mar 22, 2024
Impact of return on volatility tomorrow
Volatility Forecasts