V-Lab: Mexican Peso GJR-GARCH Volatility Analysis

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V-Lab

Mexican Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:8.44% (-0.48%)

Analysis last updated: Sunday, December 3, 2023 at 01:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0063	27.24
$α$	0.1591	25.05
$β$	0.8754	314.99
$γ$	-0.1053	-14.14

Estimation Period:
May 31, 1995 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts