V-Lab: Mexican Peso APARCH Volatility Analysis

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V-Lab

Mexican Peso APARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:14.43% (+4.46%)

Analysis last updated: Tuesday, October 3, 2023 at 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0080	23.67
$α$	0.1062	33.63
$β$	0.8817	279.83
$γ$	-0.3021	-21.13
$δ$	1.7003	41.03

Estimation Period:
May 31, 1995 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts