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

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V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:7.05% (-0.36%)

Analysis last updated: Friday, January 27, 2023, 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8495	4.35
$α$	0.1296	6.76
$β$	0.8356	41.74
$γ_{1}$	0.0006	0.02
$γ_{2}$	-0.0263	-0.66
$γ_{3}$	0.0696	2.53
$γ_{4}$	-0.0824	-3.53
$γ_{5}$	0.0747	3.79
$γ_{6}$	-0.0678	-3.48
$γ_{7}$	0.0413	2.65

Estimation Period:
May 31, 1995 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts