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

V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:15.84% (+0.39%)

Analysis last updated: Friday, April 18, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7931	3.34
$α$	0.1420	7.15
$β$	0.8178	39.65
$γ_{1}$	-0.0097	-0.19
$γ_{2}$	-0.0035	-0.05
$γ_{3}$	0.0148	0.35
$γ_{4}$	0.0390	1.33
$γ_{5}$	-0.1019	-4.32
$γ_{6}$	0.1315	5.64
$γ_{7}$	-0.1370	-4.99
$γ_{8}$	0.1102	3.61
$γ_{9}$	-0.0604	-2.65

Estimation Period:
May 31, 1995 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts