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

V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 7th, 2025:9.32% (+1.37%)

Analysis last updated: Friday, July 4, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8066	3.46
$α$	0.1419	7.21
$β$	0.8176	39.99
$γ_{1}$	-0.0076	-0.15
$γ_{2}$	-0.0065	-0.09
$γ_{3}$	0.0177	0.43
$γ_{4}$	0.0334	1.15
$γ_{5}$	-0.0941	-4.03
$γ_{6}$	0.1230	5.41
$γ_{7}$	-0.1294	-4.93
$γ_{8}$	0.1035	3.52
$γ_{9}$	-0.0551	-2.53

Estimation Period:
May 31, 1995 to Jul 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts