V-Lab: Mexican Peso Spline-GARCH Volatility Analysis

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V-Lab

Mexican Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 4th, 2023:14.30% (+3.75%)

Analysis last updated: Tuesday, October 3, 2023 at 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8524	4.55
$α$	0.1323	6.90
$β$	0.8309	41.42
$γ_{1}$	0.0018	0.08
$γ_{2}$	-0.0265	-0.75
$γ_{3}$	0.0683	2.87
$γ_{4}$	-0.0833	-4.11
$γ_{5}$	0.0786	4.44
$γ_{6}$	-0.0801	-3.97
$γ_{7}$	0.0850	2.56

Estimation Period:
May 31, 1995 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts