V-Lab: Mexican Peso EGARCH Volatility Analysis

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V-Lab

Mexican Peso EGARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:6.38% (-0.29%)

Analysis last updated: Friday, January 27, 2023, 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	-0.0195	-13.71
$α$	0.1951	36.11
$β$	0.9736	837.90
$γ$	0.0807	17.52

Estimation Period:
May 31, 1995 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts