V-Lab
US Dollar to Mexican Peso GJR-GARCH Volatility Analysis
Volatility prediction for Monday, July 27th, 2026
1 Day
6.54%
decreased by 0.37%
1 Week
6.69%
decreased by 0.22%
1 Month
7.22%
increased by 0.31%
Analysis last updated: Sunday, July 26, 2026 at 01:34 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 1990 to Jul 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 206% 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
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0073 | 18.82*** |
α ARCH Response to squared shocks | 0.1900 | 13.67*** |
β GARCH Volatility persistence | 0.8556 | 304.81*** |
γ leverage Additional response to negative shocks | -0.1279 | -8.21*** |
Persistence:
0.982
Half-life:
37 days
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