Mexican Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
9.59%
decreased by 0.70%
1 Week
9.67%
decreased by 0.62%
1 Month
9.92%
decreased by 0.37%
Analysis last updated: Sunday, October 18, 2026 at 03:14 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 31, 1995 to Oct 16, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 19 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8432 | 4.40*** |
| αARCH | 0.1339 | 7.53*** |
| βGARCH | 0.8297 | 45.11*** |
Spline Coefficients
K=8
| γ1 | 0.0001 | 0.00 |
| γ2 | -0.0240 | -0.60 |
| γ3 | 0.0652 | 2.39** |
| γ4 | -0.0767 | -3.31*** |
| γ5 | 0.0692 | 3.46*** |
| γ6 | -0.0626 | -2.99*** |
| γ7 | 0.0374 | 1.80* |
| γ8 | -0.0088 | -0.63 |
0.964
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8432 | 4.40*** |
α ARCH Response to squared shocks | 0.1339 | 7.53*** |
β GARCH Volatility persistence | 0.8297 | 45.11*** |
Spline Coefficients
K=8
| γ1 | 0.0001 | 0.00 |
| γ2 | -0.0240 | -0.60 |
| γ3 | 0.0652 | 2.39** |
| γ4 | -0.0767 | -3.31*** |
| γ5 | 0.0692 | 3.46*** |
| γ6 | -0.0626 | -2.99*** |
| γ7 | 0.0374 | 1.80* |
| γ8 | -0.0088 | -0.63 |
Persistence:
0.964
Half-life:
19 days
Other Mexican Peso Analyses
Other Zero Slope Spline-GARCH Analyses on Currencies