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

V-Lab

|

V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2023:16.64% (+2.92%)

Analysis last updated: Wednesday, October 4, 2023 at 07:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8384	4.50
$α$	0.1312	6.82
$β$	0.8319	41.31
$γ_{1}$	-0.0007	-0.03
$γ_{2}$	-0.0219	-0.61
$γ_{3}$	0.0632	2.65
$γ_{4}$	-0.0762	-3.77
$γ_{5}$	0.0677	3.97
$γ_{6}$	-0.0594	-3.66
$γ_{7}$	0.0353	2.61

Estimation Period:
May 31, 1995 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts