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

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Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 1st, 2025:7.73% (-0.36%)

Analysis last updated: Friday, November 28, 2025 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8038	3.39
$α$	0.1399	7.37
$β$	0.8230	42.59
$γ_{1}$	-0.0112	-0.23
$γ_{2}$	-0.0029	-0.04
$γ_{3}$	0.0214	0.52
$γ_{4}$	0.0220	0.75
$γ_{5}$	-0.0758	-3.15
$γ_{6}$	0.1011	4.41
$γ_{7}$	-0.1072	-4.27
$γ_{8}$	0.0800	2.86
$γ_{9}$	-0.0351	-1.72

Estimation Period:
May 31, 1995 to Nov 28, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts