V-Lab: Mexican Peso EGARCH Volatility Analysis

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V-Lab

Mexican Peso EGARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:8.37% (+0.47%)

Analysis last updated: Friday, September 22, 2023 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0213	-14.52
$α$	0.2024	37.10
$β$	0.9715	818.47
$γ$	0.0814	17.71

Estimation Period:
May 31, 1995 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts