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 Wednesday, April 24th, 2024:14.25% (-0.69%)

Analysis last updated: Tuesday, April 23, 2024 at 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8786	3.56
$α$	0.1324	6.81
$β$	0.8290	40.42
$γ_{1}$	0.0066	0.12
$γ_{2}$	-0.0228	-0.28
$γ_{3}$	0.0094	0.20
$γ_{4}$	0.0648	2.03
$γ_{5}$	-0.1372	-5.10
$γ_{6}$	0.1594	5.29
$γ_{7}$	-0.1410	-3.90
$γ_{8}$	0.0865	2.30
$γ_{9}$	-0.0437	-0.94

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts