V-Lab
US Dollar to Mexican Peso GJR-GARCH Volatility Analysis
Volatility prediction for Wednesday, September 9th, 2026
1 Day
4.75%
increased by 0.51%
1 Week
5.03%
increased by 0.79%
1 Month
5.92%
increased by 1.68%
Analysis last updated: Tuesday, September 8, 2026 at 07:11 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
May 30, 1990 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 209% 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
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Inverse leverage: Positive returns increase volatility 209% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0072 | 4.72*** |
| αARCH | 0.1894 | 3.42*** |
| βGARCH | 0.8564 | 76.93*** |
| γleverage | -0.1280 | -2.06** |
0.982
Persistence38d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0072 | 4.72*** |
α ARCH Response to squared shocks | 0.1894 | 3.42*** |
β GARCH Volatility persistence | 0.8564 | 76.93*** |
γ leverage Additional response to negative shocks | -0.1280 | -2.06** |
Persistence:
0.982
Half-life:
38 days
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