V-Lab: Mexican Peso Spline-GARCH Volatility Analysis

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V-Lab

Mexican Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 4th, 2025:4.88% (-0.14%)

Analysis last updated: Monday, November 3, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8189	3.52
$α$	0.1410	7.35
$β$	0.8199	41.49
$γ_{1}$	-0.0046	-0.10
$γ_{2}$	-0.0118	-0.17
$γ_{3}$	0.0229	0.56
$γ_{4}$	0.0273	0.94
$γ_{5}$	-0.0879	-3.73
$γ_{6}$	0.1190	5.26
$γ_{7}$	-0.1335	-5.15
$γ_{8}$	0.1258	3.77
$γ_{9}$	-0.1329	-2.98

Estimation Period:
May 31, 1995 to Oct 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts