V-Lab
Mexican Peso GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, September 16th, 2026
1 Day
7.95%
increased by 2.61%
1 Week
8.01%
increased by 2.67%
1 Month
8.24%
increased by 2.90%
Analysis last updated: Tuesday, September 15, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 31, 1995 to Sep 11, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 224% 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 224% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0076 | 7.45*** |
| αARCH | 0.1740 | 6.71*** |
| βGARCH | 0.8645 | 78.21*** |
| γleverage | -0.1202 | -3.88*** |
0.978
Persistence32d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0076 | 7.45*** |
α ARCH Response to squared shocks | 0.1740 | 6.71*** |
β GARCH Volatility persistence | 0.8645 | 78.21*** |
γ leverage Additional response to negative shocks | -0.1202 | -3.88*** |
Persistence:
0.978
Half-life:
32 days
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