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

V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 23rd, 2025:7.77% (-0.21%)

Analysis last updated: Friday, June 20, 2025 at 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7983	3.41
$α$	0.1427	7.22
$β$	0.8166	39.75
$γ_{1}$	-0.0082	-0.17
$γ_{2}$	-0.0056	-0.08
$γ_{3}$	0.0169	0.41
$γ_{4}$	0.0347	1.20
$γ_{5}$	-0.0956	-4.09
$γ_{6}$	0.1241	5.46
$γ_{7}$	-0.1297	-4.92
$γ_{8}$	0.1032	3.49
$γ_{9}$	-0.0547	-2.49

Estimation Period:
May 31, 1995 to Jun 20, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts