V-Lab: Mexican Peso GJR-GARCH Volatility Analysis

V-Lab

Mexican Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:6.35% (-0.26%)

Analysis last updated: Friday, May 9, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0077	29.95
$α$	0.1803	26.70
$β$	0.8598	296.81
$γ$	-0.1213	-15.16

Estimation Period:
May 31, 1995 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts