US Dollar to Mexican Peso EGARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
6.58%
decreased by 0.29%
1 Week
6.80%
decreased by 0.07%
1 Month
7.56%
increased by 0.69%
Analysis last updated: Monday, July 20, 2026 at 07:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 1990 to Jul 17, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 216% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0314 | -10.56*** |
α ARCH Response to squared shocks | 0.1969 | 42.20*** |
β GARCH Volatility persistence | 0.9631 | 293.10*** |
γ leverage Additional response to negative shocks | 0.1022 | 10.26*** |
Persistence:
0.963
Half-life:
18 days
Other EGARCH Analyses on Currencies