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, July 29th, 2024:12.52% (-1.00%)

Analysis last updated: Friday, July 26, 2024 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7971	3.27
$α$	0.1348	6.85
$β$	0.8253	39.81
$γ_{1}$	-0.0107	-0.19
$γ_{2}$	-0.0004	-0.00
$γ_{3}$	0.0057	0.12
$γ_{4}$	0.0574	1.86
$γ_{5}$	-0.1244	-4.88
$γ_{6}$	0.1484	5.39
$γ_{7}$	-0.1371	-4.16
$γ_{8}$	0.0891	2.68
$γ_{9}$	-0.0362	-1.54

Estimation Period:
May 31, 1995 to Jul 26, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts