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 Wednesday, September 18th, 2024:13.50% (-0.93%)

Analysis last updated: Tuesday, September 17, 2024 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8717	3.62
$α$	0.1363	6.94
$β$	0.8241	40.02
$γ_{1}$	0.0069	0.13
$γ_{2}$	-0.0242	-0.31
$γ_{3}$	0.0145	0.32
$γ_{4}$	0.0544	1.78
$γ_{5}$	-0.1250	-5.01
$γ_{6}$	0.1509	5.67
$γ_{7}$	-0.1397	-4.25
$γ_{8}$	0.0872	2.32
$γ_{9}$	-0.0095	-0.16

Estimation Period:
May 31, 1995 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts