V-Lab: Mexican Peso Spline-GARCH Volatility Analysis

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V-Lab

Mexican Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, December 4th, 2025:5.57% (-0.15%)

Analysis last updated: Wednesday, December 3, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8197	3.54
$α$	0.1400	7.35
$β$	0.8210	41.77
$γ_{1}$	-0.0043	-0.09
$γ_{2}$	-0.0125	-0.18
$γ_{3}$	0.0241	0.59
$γ_{4}$	0.0250	0.86
$γ_{5}$	-0.0846	-3.58
$γ_{6}$	0.1151	5.08
$γ_{7}$	-0.1298	-5.05
$γ_{8}$	0.1230	3.69
$γ_{9}$	-0.1296	-2.86

Estimation Period:
May 31, 1995 to Nov 28, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts