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, March 24th, 2025:9.84% (+0.04%)

Analysis last updated: Friday, March 21, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7867	3.34
$α$	0.1399	7.07
$β$	0.8193	39.63
$γ_{1}$	-0.0110	-0.21
$γ_{2}$	-0.0015	-0.02
$γ_{3}$	0.0133	0.31
$γ_{4}$	0.0409	1.40
$γ_{5}$	-0.1044	-4.43
$γ_{6}$	0.1336	5.70
$γ_{7}$	-0.1373	-4.94
$γ_{8}$	0.1080	3.51
$γ_{9}$	-0.0576	-2.51

Estimation Period:
May 31, 1995 to Mar 21, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts