V-Lab: Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:13.82% (-0.64%)

Analysis last updated: Friday, April 26, 2024 at 07:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8147	3.27
$α$	0.1327	6.82
$β$	0.8289	40.47
$γ_{1}$	-0.0088	-0.15
$γ_{2}$	-0.0024	-0.03
$γ_{3}$	0.0035	0.07
$γ_{4}$	0.0635	1.98
$γ_{5}$	-0.1310	-4.84
$γ_{6}$	0.1509	5.01
$γ_{7}$	-0.1318	-3.71
$γ_{8}$	0.0753	2.22
$γ_{9}$	-0.0226	-0.99

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts