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 Wednesday, February 5th, 2025:25.90% (+9.03%)

Analysis last updated: Tuesday, February 4, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7873	3.32
$α$	0.1383	7.01
$β$	0.8211	39.68
$γ_{1}$	-0.0115	-0.22
$γ_{2}$	-0.0003	-0.00
$γ_{3}$	0.0111	0.26
$γ_{4}$	0.0449	1.52
$γ_{5}$	-0.1093	-4.59
$γ_{6}$	0.1379	5.73
$γ_{7}$	-0.1391	-4.83
$γ_{8}$	0.1061	3.39
$γ_{9}$	-0.0545	-2.36

Estimation Period:
May 31, 1995 to Jan 31, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts