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{name} Model Equation

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Param	Value	t-stat
mwindow	91
αARCH	0.2183	9.48***
βGARCH	0.7740	42.43***
γleverage	-0.2014	-5.74***
λ₁tau intercept	0.0381	2.11**
λ₂forecast adj.	0.8824	11.45***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.2183	9.48***
β GARCH Volatility persistence	0.7740	42.43***
γ leverage Additional response to negative shocks	-0.2014	-5.74***
λ₁ tau intercept Baseline long-term coefficient	0.0381	2.11**
λ₂ forecast adj. Forecast performance sensitivity	0.8824	11.45***
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