US Dollar to Mexican Peso GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, November 9th, 2026
1 Day
13.58%
decreased by 1.46%
1 Week
13.47%
decreased by 1.57%
1 Month
13.06%
decreased by 1.98%
Analysis last updated: Sunday, November 8, 2026 at 02:04 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 1990 to Nov 6, 2026Model Insight
Volatility shocks decay with a half-life of 42 trading days, meaning a shock loses half its impact after approximately 42 days. Returns follow a Student-t distribution with v = 4.22 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 42-day half-lifev = 4.22 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωlong-run | 0.3947 | 1.79* |
| αscore | 0.1019 | 13.56*** |
| βpersistence | 0.9835 | 104.28*** |
| νDF | 4.2175 | 4.47*** |
0.983
Persistence42d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω long-run Long-run variance given a price move | 0.3947 | 1.79* |
α score Weight on the scaled score | 0.1019 | 13.56*** |
β persistence Volatility persistence | 0.9835 | 104.28*** |
ν DF Student-t tail thickness | 4.2175 | 4.47*** |
Persistence:
0.983
Half-life:
42 days
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