Mexican Peso APARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
9.78%
1 Week
9.80%
1 Month
9.88%
Analysis last updated: Friday, October 16, 2026 at 07:55 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 31, 1995 to Oct 16, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 222% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets. The volatility power δ = 1.66 sits below 2, so large shocks influence volatility less than quadratically, a more outlier-robust response than standard GARCH.
APARCH Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0096 | 6.25*** |
| αARCH | 0.1102 | 8.71*** |
| βGARCH | 0.8753 | 73.37*** |
| γleverage | -0.3381 | -5.90*** |
| δpower | 1.6629 | 10.38*** |
0.980
Persistence35d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0096 | 6.25*** |
α ARCH Response to squared shocks | 0.1102 | 8.71*** |
β GARCH Volatility persistence | 0.8753 | 73.37*** |
γ leverage Additional response to negative shocks | -0.3381 | -5.90*** |
δ power Transformation power | 1.6629 | 10.38*** |
Persistence:
0.980
Half-life:
35 days
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