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 Monday, July 29th, 2024:12.75% (-0.99%)

Analysis last updated: Friday, July 26, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8729	3.60
$α$	0.1347	6.89
$β$	0.8255	40.05
$γ_{1}$	0.0073	0.14
$γ_{2}$	-0.0245	-0.31
$γ_{3}$	0.0131	0.29
$γ_{4}$	0.0580	1.87
$γ_{5}$	-0.1295	-5.09
$γ_{6}$	0.1541	5.56
$γ_{7}$	-0.1400	-4.11
$γ_{8}$	0.0857	2.26
$γ_{9}$	-0.0176	-0.31

Estimation Period:
May 31, 1995 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts