Mexican Peso GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
10.02%
decreased by 0.62%
1 Week
9.99%
decreased by 0.65%
1 Month
9.90%
decreased by 0.74%
Analysis last updated: Thursday, October 8, 2026 at 07:16 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 2, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 226% 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
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Inverse leverage: Positive returns increase volatility 226% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0076 | 7.47*** |
| αARCH | 0.1745 | 6.74*** |
| βGARCH | 0.8642 | 78.30*** |
| γleverage | -0.1209 | -3.91*** |
0.978
Persistence32d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0076 | 7.47*** |
α ARCH Response to squared shocks | 0.1745 | 6.74*** |
β GARCH Volatility persistence | 0.8642 | 78.30*** |
γ leverage Additional response to negative shocks | -0.1209 | -3.91*** |
Persistence:
0.978
Half-life:
32 days
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