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

V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:7.91% (-0.05%)

Analysis last updated: Friday, May 30, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7897	3.38
$α$	0.1424	7.19
$β$	0.8165	39.55
$γ_{1}$	-0.0103	-0.20
$γ_{2}$	-0.0029	-0.04
$γ_{3}$	0.0160	0.39
$γ_{4}$	0.0353	1.22
$γ_{5}$	-0.0968	-4.15
$γ_{6}$	0.1261	5.53
$γ_{7}$	-0.1320	-4.96
$γ_{8}$	0.1055	3.54
$γ_{9}$	-0.0566	-2.54

Estimation Period:
May 31, 1995 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts