V-Lab: Mexican Peso Spline-GARCH Volatility Analysis

V-Lab

Mexican Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, July 11th, 2025:7.05% (-0.25%)

Analysis last updated: Thursday, July 10, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8708	3.77
$α$	0.1419	7.24
$β$	0.8172	39.99
$γ_{1}$	0.0071	0.15
$γ_{2}$	-0.0260	-0.37
$γ_{3}$	0.0234	0.57
$γ_{4}$	0.0349	1.21
$γ_{5}$	-0.1004	-4.30
$γ_{6}$	0.1313	5.78
$γ_{7}$	-0.1383	-5.11
$γ_{8}$	0.1145	3.42
$γ_{9}$	-0.0748	-1.75

Estimation Period:
May 31, 1995 to Jul 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts