V-Lab
V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility Prediction for Monday, April 22nd, 2024:16.12% (-1.42%)

Analysis last updated: Sunday, April 21, 2024 at 02:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Mexican Peso S0GARCH
paramt-stat
ω0.81343.25
α0.13296.81
β0.828940.46
γ1-0.0089-0.15
γ2-0.0024-0.03
γ30.00360.08
γ40.06351.98
γ5-0.1310-4.83
γ60.15095.00
γ7-0.1319-3.70
γ80.07542.22
γ9-0.0227-0.99
Estimation Period:
May 31, 1995 to Apr 19, 2024
Impact of return on volatility tomorrow
Volatility Forecasts