V-Lab: Mexican Peso Spline-GARCH Volatility Analysis

Skip to main content

V-Lab

Mexican Peso Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, November 17th, 2025:5.78% (-0.32%)

Analysis last updated: Friday, November 14, 2025 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8161	3.52
$α$	0.1406	7.35
$β$	0.8202	41.54
$γ_{1}$	-0.0049	-0.10
$γ_{2}$	-0.0116	-0.17
$γ_{3}$	0.0233	0.57
$γ_{4}$	0.0265	0.91
$γ_{5}$	-0.0867	-3.68
$γ_{6}$	0.1175	5.20
$γ_{7}$	-0.1319	-5.11
$γ_{8}$	0.1243	3.73
$γ_{9}$	-0.1303	-2.90

Estimation Period:
May 31, 1995 to Nov 14, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts