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

V-Lab

Mexican Peso Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:7.92% (-0.16%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7878	3.37
$α$	0.1427	7.16
$β$	0.8157	39.21
$γ_{1}$	-0.0111	-0.22
$γ_{2}$	-0.0013	-0.02
$γ_{3}$	0.0142	0.34
$γ_{4}$	0.0379	1.31
$γ_{5}$	-0.1001	-4.29
$γ_{6}$	0.1294	5.64
$γ_{7}$	-0.1345	-5.00
$γ_{8}$	0.1071	3.57
$γ_{9}$	-0.0575	-2.56

Estimation Period:
May 31, 1995 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts