V-Lab: Mexican Peso GJR-GARCH Volatility Analysis

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V-Lab

Mexican Peso GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:7.40% (-0.40%)

Analysis last updated: Thursday, June 1, 2023 at 07:28 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0065	27.42
$α$	0.1647	24.69
$β$	0.8706	299.06
$γ$	-0.1076	-13.84

Estimation Period:
May 31, 1995 to May 27, 2023

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Volatility Forecasts