V-Lab: Mexican Peso GJR-GARCH Volatility Analysis

V-Lab

Mexican Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Tuesday, September 16th, 2025:4.78% (-0.15%)

Analysis last updated: Monday, September 15, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0078	29.58
$α$	0.1785	26.73
$β$	0.8607	298.96
$γ$	-0.1212	-15.28

Estimation Period:
May 31, 1995 to Sep 12, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts