V-Lab
Mexican Peso GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
6.56%
decreased by 0.34%
1 Week
6.71%
decreased by 0.19%
1 Month
7.20%
increased by 0.30%
Analysis last updated: Sunday, July 26, 2026 at 01:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 31, 1995 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 222% 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0078 | 29.78*** |
α ARCH Response to squared shocks | 0.1748 | 26.73*** |
β GARCH Volatility persistence | 0.8632 | 308.07*** |
γ leverage Additional response to negative shocks | -0.1205 | -15.41*** |
Persistence:
0.978
Half-life:
31 days
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