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

V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, September 1st, 2025:7.26% (-0.21%)

Analysis last updated: Friday, August 29, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7935	3.37
$α$	0.1416	7.28
$β$	0.8191	40.86
$γ_{1}$	-0.0110	-0.22
$γ_{2}$	-0.0027	-0.04
$γ_{3}$	0.0189	0.46
$γ_{4}$	0.0293	1.00
$γ_{5}$	-0.0880	-3.73
$γ_{6}$	0.1155	5.10
$γ_{7}$	-0.1216	-4.73
$γ_{8}$	0.0957	3.31
$γ_{9}$	-0.0488	-2.28

Estimation Period:
May 31, 1995 to Aug 29, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts