V-Lab: Mexican Peso EGARCH Volatility Analysis

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V-Lab

Mexican Peso EGARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:16.99% (+4.45%)

Analysis last updated: Friday, April 19, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0218	-14.85
$α$	0.2031	37.93
$β$	0.9707	806.93
$γ$	0.0817	17.93

Estimation Period:
May 31, 1995 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts