V-Lab: Mexican Peso Spline-GARCH Volatility Analysis

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V-Lab

Mexican Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:7.49% (-0.24%)

Analysis last updated: Sunday, January 29, 2023, 01:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8899	4.50
$α$	0.1290	6.79
$β$	0.8367	42.26
$γ_{1}$	0.0080	0.30
$γ_{2}$	-0.0377	-0.95
$γ_{3}$	0.0769	2.79
$γ_{4}$	-0.0894	-3.78
$γ_{5}$	0.0842	4.05
$γ_{6}$	-0.0845	-3.53
$γ_{7}$	0.0788	2.18

Estimation Period:
May 31, 1995 to Jan 28, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts