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{name} Model Equation

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Param	Value	t-stat
mwindow	91
αARCH	0.2155	9.58***
βGARCH	0.7794	44.05***
γleverage	-0.1993	-5.84***
λ₁tau intercept	0.0388	2.11**
λ₂forecast adj.	0.8823	11.11***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.2155	9.58***
β GARCH Volatility persistence	0.7794	44.05***
γ leverage Additional response to negative shocks	-0.1993	-5.84***
λ₁ tau intercept Baseline long-term coefficient	0.0388	2.11**
λ₂ forecast adj. Forecast performance sensitivity	0.8823	11.11***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Mexican Peso MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Mexican Peso Analyses