V-Lab
Mexican Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, August 11th, 2026
1 Day
6.40%
decreased by 0.28%
1 Week
6.49%
decreased by 0.19%
1 Month
6.83%
increased by 0.15%
Analysis last updated: Monday, August 10, 2026 at 07:11 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 31, 1995 to Aug 7, 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 | 0.5397 | 3.73*** |
α ARCH Response to squared shocks | 0.0538 | 85.25*** |
β GARCH Volatility persistence | 0.9938 | 640.76*** |
ν DF Student-t tail thickness | 2.9435 | 39.63*** |
Persistence:
0.994
Half-life:
112 days
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