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

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V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:8.01% (-0.49%)

Analysis last updated: Thursday, June 1, 2023 at 07:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8457	4.40
$α$	0.1328	6.85
$β$	0.8314	41.30
$γ_{1}$	0.0002	0.01
$γ_{2}$	-0.0245	-0.65
$γ_{3}$	0.0668	2.62
$γ_{4}$	-0.0794	-3.67
$γ_{5}$	0.0714	3.91
$γ_{6}$	-0.0636	-3.58
$γ_{7}$	0.0382	2.63

Estimation Period:
May 31, 1995 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts