Mexican Peso GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
9.99%
decreased by 0.63%
1 Week
9.96%
decreased by 0.66%
1 Month
9.88%
decreased by 0.74%
Analysis last updated: Thursday, October 29, 2026 at 07:09 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 23, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 229% 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 229% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0075 | 7.43*** |
| αARCH | 0.1728 | 6.75*** |
| βGARCH | 0.8661 | 79.72*** |
| γleverage | -0.1203 | -3.93*** |
0.979
Persistence32d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0075 | 7.43*** |
α ARCH Response to squared shocks | 0.1728 | 6.75*** |
β GARCH Volatility persistence | 0.8661 | 79.72*** |
γ leverage Additional response to negative shocks | -0.1203 | -3.93*** |
Persistence:
0.979
Half-life:
32 days
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