Mexican Peso Spline-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
8.90%
decreased by 0.72%
1 Week
8.82%
decreased by 0.80%
1 Month
8.58%
decreased by 1.04%
Analysis last updated: Thursday, October 29, 2026 at 07:09 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 31, 1995 to Oct 23, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 18 trading days.
τ
Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.8663 | 4.56*** |
| αARCH | 0.1326 | 7.52*** |
| βGARCH | 0.8302 | 44.71*** |
Spline Coefficients
K=8
| γ1 | 0.0073 | 0.28 |
| γ2 | -0.0363 | -0.92 |
| γ3 | 0.0759 | 2.83*** |
| γ4 | -0.0886 | -3.86*** |
| γ5 | 0.0827 | 4.15*** |
| γ6 | -0.0805 | -3.76*** |
| γ7 | 0.0686 | 2.78*** |
| γ8 | -0.0780 | -2.18** |
0.963
Persistence18d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.8663 | 4.56*** |
α ARCH Response to squared shocks | 0.1326 | 7.52*** |
β GARCH Volatility persistence | 0.8302 | 44.71*** |
Spline Coefficients
K=8
| γ1 | 0.0073 | 0.28 |
| γ2 | -0.0363 | -0.92 |
| γ3 | 0.0759 | 2.83*** |
| γ4 | -0.0886 | -3.86*** |
| γ5 | 0.0827 | 4.15*** |
| γ6 | -0.0805 | -3.76*** |
| γ7 | 0.0686 | 2.78*** |
| γ8 | -0.0780 | -2.18** |
Persistence:
0.963
Half-life:
18 days
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