V-Lab
Mexican Peso GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, August 19th, 2026
1 Day
4.66%
increased by 0.29%
1 Week
4.96%
increased by 0.59%
1 Month
5.87%
increased by 1.50%
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
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 223% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0077 | 29.78*** |
α ARCH Response to squared shocks | 0.1745 | 26.76*** |
β GARCH Volatility persistence | 0.8637 | 309.55*** |
γ leverage Additional response to negative shocks | -0.1204 | -15.46*** |
Persistence:
0.978
Half-life:
31 days
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