V-Lab
V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Monday, July 15th, 2024:8.78% (-0.23%)

Analysis last updated: Friday, July 12, 2024 at 07:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Mexican Peso S0GARCH
paramt-stat
ω0.80633.30
α0.13526.85
β0.825039.78
γ1-0.0083-0.15
γ2-0.0035-0.04
γ30.00610.13
γ40.05841.89
γ5-0.1254-4.90
γ60.14835.35
γ7-0.1358-4.09
γ80.08672.60
γ9-0.0340-1.44
Estimation Period:
May 31, 1995 to Jul 12, 2024
Impact of return on volatility tomorrow
Volatility Forecasts