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

V-Lab

| |

V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:14.48% (-0.27%)

Analysis last updated: Thursday, April 25, 2024 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8134	3.25
$α$	0.1329	6.81
$β$	0.8289	40.46
$γ_{1}$	-0.0089	-0.15
$γ_{2}$	-0.0024	-0.03
$γ_{3}$	0.0036	0.08
$γ_{4}$	0.0635	1.98
$γ_{5}$	-0.1310	-4.83
$γ_{6}$	0.1509	5.00
$γ_{7}$	-0.1319	-3.70
$γ_{8}$	0.0754	2.22
$γ_{9}$	-0.0227	-0.99

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts