V-Lab: Mexican Peso APARCH Volatility Analysis

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V-Lab

Mexican Peso APARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:6.42% (-0.28%)

Analysis last updated: Sunday, January 29, 2023, 01:39 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0075	23.33
$α$	0.1031	33.32
$β$	0.8863	285.53
$γ$	-0.3143	-21.06
$δ$	1.6767	40.33

Estimation Period:
May 31, 1995 to Jan 28, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts