V-Lab: Mexican Peso Spline-GARCH Volatility Analysis

V-Lab

Mexican Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 14th, 2025:6.80% (0.00%)

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8101	3.48
$α$	0.1421	7.25
$β$	0.8172	40.08
$γ_{1}$	-0.0050	-0.10
$γ_{2}$	-0.0105	-0.15
$γ_{3}$	0.0189	0.46
$γ_{4}$	0.0359	1.24
$γ_{5}$	-0.1002	-4.29
$γ_{6}$	0.1310	5.77
$γ_{7}$	-0.1389	-5.15
$γ_{8}$	0.1170	3.49
$γ_{9}$	-0.0836	-1.94

Estimation Period:
May 31, 1995 to Jul 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts