Mexican Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, November 6th, 2026
1 Day
13.43%
increased by 1.03%
1 Week
13.37%
increased by 0.97%
1 Month
13.16%
increased by 0.76%
Analysis last updated: Thursday, November 5, 2026 at 07:27 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 31, 2026Model Insight
Volatility shocks decay with a half-life of 65 trading days, meaning a shock loses half its impact after approximately 65 days. Returns follow a Student-t distribution with v = 4.22 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 65-day half-lifev = 4.22 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.4610 | 1.15 |
| αscore | 0.0847 | 11.70*** |
| βpersistence | 0.9894 | 110.82*** |
| νDF | 4.2221 | 3.65*** |
0.989
Persistence65d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.4610 | 1.15 |
α score Weight on the scaled score | 0.0847 | 11.70*** |
β persistence Volatility persistence | 0.9894 | 110.82*** |
ν DF Student-t tail thickness | 4.2221 | 3.65*** |
Persistence:
0.989
Half-life:
65 days
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