V-Lab: Mexican Peso AGARCH Volatility Analysis

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V-Lab

Mexican Peso AGARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:9.36% (+1.98%)

Analysis last updated: Friday, September 22, 2023 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0031	9.99
$α$	0.1148	33.26
$β$	0.8648	274.70
$γ$	-0.1995	-27.39

Estimation Period:
May 31, 1995 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts