US Dollar to Mexican Peso GJR-GARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
8.83%
decreased by 0.60%
1 Week
8.87%
decreased by 0.56%
1 Month
9.03%
decreased by 0.40%
Analysis last updated: Sunday, October 18, 2026 at 02:54 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 1990 to Oct 16, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 211% 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
GJR-GARCH Model
Tap to view equation
Inverse leverage: Positive returns increase volatility 211% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0072 | 4.76*** |
| αARCH | 0.1897 | 3.43*** |
| βGARCH | 0.8565 | 77.39*** |
| γleverage | -0.1286 | -2.08** |
0.982
Persistence38d
Half-lifeσ
GJR-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0072 | 4.76*** |
α ARCH Response to squared shocks | 0.1897 | 3.43*** |
β GARCH Volatility persistence | 0.8565 | 77.39*** |
γ leverage Additional response to negative shocks | -0.1286 | -2.08** |
Persistence:
0.982
Half-life:
38 days
Other US Dollar to Mexican Peso Analyses
Other GJR-GARCH Analyses on Currencies