V-Lab: Mexican Peso Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Mexican Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 19th, 2024:12.09% (-0.88%)

Analysis last updated: Thursday, April 18, 2024 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8112	3.26
$α$	0.1312	6.78
$β$	0.8302	40.63
$γ_{1}$	-0.0070	-0.12
$γ_{2}$	-0.0055	-0.06
$γ_{3}$	0.0042	0.09
$γ_{4}$	0.0671	2.09
$γ_{5}$	-0.1386	-5.12
$γ_{6}$	0.1604	5.28
$γ_{7}$	-0.1417	-3.89
$γ_{8}$	0.0880	2.34
$γ_{9}$	-0.0518	-1.11

Estimation Period:
May 31, 1995 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts