V-Lab
Mexican Peso Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
5.55%
decreased by 0.11%
1 Week
6.04%
increased by 0.38%
1 Month
7.39%
increased by 1.73%
Analysis last updated: Monday, September 7, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 31, 1995 to Sep 4, 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 | 0.8417 | 4.36*** |
| αARCH | 0.1342 | 7.52*** |
| βGARCH | 0.8295 | 44.99*** |
Spline Coefficients
K=8
| γ1 | 0.0000 | 0.00 |
| γ2 | -0.0244 | -0.60 |
| γ3 | 0.0658 | 2.37** |
| γ4 | -0.0767 | -3.24*** |
| γ5 | 0.0689 | 3.36*** |
| γ6 | -0.0620 | -2.88*** |
| γ7 | 0.0361 | 1.71* |
| γ8 | -0.0075 | -0.53 |
0.964
Persistence19d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8417 | 4.36*** |
α ARCH Response to squared shocks | 0.1342 | 7.52*** |
β GARCH Volatility persistence | 0.8295 | 44.99*** |
Spline Coefficients
K=8
| γ1 | 0.0000 | 0.00 |
| γ2 | -0.0244 | -0.60 |
| γ3 | 0.0658 | 2.37** |
| γ4 | -0.0767 | -3.24*** |
| γ5 | 0.0689 | 3.36*** |
| γ6 | -0.0620 | -2.88*** |
| γ7 | 0.0361 | 1.71* |
| γ8 | -0.0075 | -0.53 |
Persistence:
0.964
Half-life:
19 days
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