Mexican Peso EGARCH Volatility Analysis
Volatility prediction for Monday, November 2nd, 2026
1 Day
11.72%
increased by 1.78%
1 Week
11.67%
increased by 1.73%
1 Month
11.48%
increased by 1.54%
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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 155% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
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Inverse leverage: Positive returns increase volatility 155% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | -0.0243 | -4.20*** |
| αARCH | 0.2043 | 10.18*** |
| βGARCH | 0.9684 | 203.20*** |
| γleverage | 0.0891 | 4.93*** |
0.968
Persistence22d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0243 | -4.20*** |
α ARCH Response to squared shocks | 0.2043 | 10.18*** |
β GARCH Volatility persistence | 0.9684 | 203.20*** |
γ leverage Additional response to negative shocks | 0.0891 | 4.93*** |
Persistence:
0.968
Half-life:
22 days
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