V-Lab
Mexican Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 29th, 2026
1 Day
9.41%
decreased by 0.45%
1 Week
9.50%
decreased by 0.36%
1 Month
9.76%
decreased by 0.10%
Analysis last updated: Monday, September 28, 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 25, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 18 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8594 | 4.53*** |
| αARCH | 0.1340 | 7.51*** |
| βGARCH | 0.8292 | 44.89*** |
Spline Coefficients
K=8
| γ1 | 0.0006 | 0.02 |
| γ2 | -0.0246 | -0.62 |
| γ3 | 0.0661 | 2.43** |
| γ4 | -0.0783 | -3.40*** |
| γ5 | 0.0699 | 3.50*** |
| γ6 | -0.0613 | -2.90*** |
| γ7 | 0.0349 | 1.67* |
| γ8 | -0.0067 | -0.49 |
0.963
Persistence18d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8594 | 4.53*** |
α ARCH Response to squared shocks | 0.1340 | 7.51*** |
β GARCH Volatility persistence | 0.8292 | 44.89*** |
Spline Coefficients
K=8
| γ1 | 0.0006 | 0.02 |
| γ2 | -0.0246 | -0.62 |
| γ3 | 0.0661 | 2.43** |
| γ4 | -0.0783 | -3.40*** |
| γ5 | 0.0699 | 3.50*** |
| γ6 | -0.0613 | -2.90*** |
| γ7 | 0.0349 | 1.67* |
| γ8 | -0.0067 | -0.49 |
Persistence:
0.963
Half-life:
18 days
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