V-Lab
Mexican Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
5.66%
increased by 0.23%
1 Week
5.77%
increased by 0.34%
1 Month
6.18%
increased by 0.75%
Analysis last updated: Tuesday, August 18, 2026 at 07:42 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 31, 1995 to Aug 14, 2026Model Insight
With persistence 0.994, volatility shocks have a half-life of 112 trading days (~0.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 2.94 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.5390 | 3.73*** |
α ARCH Response to squared shocks | 0.0538 | 85.40*** |
β GARCH Volatility persistence | 0.9938 | 642.01*** |
ν DF Student-t tail thickness | 2.9435 | 39.69*** |
Persistence:
0.994
Half-life:
112 days
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