Mexican Peso AGARCH Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
13.81%
increased by 3.96%
1 Week
13.65%
increased by 3.80%
1 Month
13.10%
increased by 3.25%
Analysis last updated: Friday, October 30, 2026 at 07:04 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 31, 1995 to Oct 30, 2026Model Insight
The news-impact curve is shifted (γ = -0.22) so that positive returns raise next-day volatility more than negative returns of the same size. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and rare among risky assets.
σ
AGARCH Model
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Asymmetry: positive returns raise volatility more
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0032 | 2.35** |
| αARCH | 0.1173 | 9.11*** |
| βGARCH | 0.8595 | 72.99*** |
| γleverage | -0.2185 | -7.61*** |
0.977
Persistence30d
Half-lifeσ
AGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0032 | 2.35** |
α ARCH Response to squared shocks | 0.1173 | 9.11*** |
β GARCH Volatility persistence | 0.8595 | 72.99*** |
γ leverage Additional response to negative shocks | -0.2185 | -7.61*** |
Persistence:
0.977
Half-life:
30 days
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