V-Lab: Mexican Peso GJR-GARCH Volatility Analysis

V-Lab

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V-Lab

Mexican Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, April 26th, 2024:15.24% (+0.07%)

Analysis last updated: Thursday, April 25, 2024 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0067	27.95
$α$	0.1641	25.50
$β$	0.8705	304.49
$γ$	-0.1077	-14.29

Estimation Period:
May 31, 1995 to Apr 19, 2024

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Volatility Forecasts

Volatility Forecasts