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

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V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, October 31st, 2025:6.22% (-0.10%)

Analysis last updated: Thursday, October 30, 2025 at 11:27 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8006	3.38
$α$	0.1407	7.34
$β$	0.8215	41.96
$γ_{1}$	-0.0113	-0.23
$γ_{2}$	-0.0024	-0.03
$γ_{3}$	0.0200	0.48
$γ_{4}$	0.0249	0.85
$γ_{5}$	-0.0803	-3.37
$γ_{6}$	0.1064	4.66
$γ_{7}$	-0.1124	-4.44
$γ_{8}$	0.0850	3.00
$γ_{9}$	-0.0389	-1.88

Estimation Period:
May 31, 1995 to Oct 24, 2025

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Volatility Forecasts

Volatility Forecasts