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

V-Lab

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V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, December 23rd, 2024:8.21% (-0.29%)

Analysis last updated: Friday, December 20, 2024 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7863	3.31
$α$	0.1387	6.97
$β$	0.8201	39.27
$γ_{1}$	-0.0113	-0.21
$γ_{2}$	-0.0001	-0.00
$γ_{3}$	0.0096	0.22
$γ_{4}$	0.0478	1.62
$γ_{5}$	-0.1131	-4.74
$γ_{6}$	0.1409	5.77
$γ_{7}$	-0.1389	-4.73
$γ_{8}$	0.1016	3.22
$γ_{9}$	-0.0491	-2.11

Estimation Period:
May 31, 1995 to Dec 20, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts