V-Lab: Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 28th, 2024:8.91% (-0.52%)

Analysis last updated: Friday, October 25, 2024 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8047	3.36
$α$	0.1361	6.93
$β$	0.8237	39.86
$γ_{1}$	-0.0080	-0.15
$γ_{2}$	-0.0047	-0.06
$γ_{3}$	0.0103	0.23
$γ_{4}$	0.0502	1.66
$γ_{5}$	-0.1164	-4.74
$γ_{6}$	0.1430	5.61
$γ_{7}$	-0.1386	-4.52
$γ_{8}$	0.0982	3.04
$γ_{9}$	-0.0454	-1.92

Estimation Period:
May 31, 1995 to Oct 25, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts