V-Lab
V-Lab

Mexican Peso Spline-GARCH Volatility Analysis
Volatility Prediction for Monday, April 22nd, 2024:15.98% (-1.43%)

Analysis last updated: Sunday, April 21, 2024 at 01:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of Mexican Peso SGARCH
paramt-stat
ω0.87863.56
α0.13246.81
β0.829040.42
γ10.00660.12
γ2-0.0228-0.28
γ30.00940.20
γ40.06482.03
γ5-0.1372-5.10
γ60.15945.29
γ7-0.1410-3.90
γ80.08652.30
γ9-0.0437-0.94
Estimation Period:
May 31, 1995 to Apr 19, 2024
Impact of return on volatility tomorrow
Volatility Forecasts