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

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Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, October 14th, 2025:9.62% (+0.45%)

Analysis last updated: Monday, October 13, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8129	3.42
$α$	0.1414	7.36
$β$	0.8209	41.93
$γ_{1}$	-0.0081	-0.17
$γ_{2}$	-0.0074	-0.10
$γ_{3}$	0.0226	0.54
$γ_{4}$	0.0246	0.83
$γ_{5}$	-0.0821	-3.43
$γ_{6}$	0.1092	4.77
$γ_{7}$	-0.1151	-4.50
$γ_{8}$	0.0872	3.06
$γ_{9}$	-0.0404	-1.94

Estimation Period:
May 31, 1995 to Oct 10, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts