V-Lab
Mexican Peso APARCH Volatility Analysis
Volatility prediction for Monday, September 21st, 2026
1 Day
7.94%
1 Week
8.04%
1 Month
8.38%
Analysis last updated: Friday, September 18, 2026 at 08:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 31, 1995 to Sep 18, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 219% 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 = 1.67 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 | 6.22*** |
| αARCH | 0.1105 | 8.69*** |
| βGARCH | 0.8747 | 72.76*** |
| γleverage | -0.3334 | -5.86*** |
| δpower | 1.6714 | 10.38*** |
0.980
Persistence35d
Half-lifeAPARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0096 | 6.22*** |
α ARCH Response to squared shocks | 0.1105 | 8.69*** |
β GARCH Volatility persistence | 0.8747 | 72.76*** |
γ leverage Additional response to negative shocks | -0.3334 | -5.86*** |
δ power Transformation power | 1.6714 | 10.38*** |
Persistence:
0.980
Half-life:
35 days
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