V-Lab
US Dollar to Mexican Peso GJR-GARCH Volatility Analysis
Volatility prediction for Tuesday, October 6th, 2026
1 Day
11.61%
decreased by 0.48%
1 Week
11.56%
decreased by 0.53%
1 Month
11.37%
decreased by 0.72%
Analysis last updated: Monday, October 5, 2026 at 07:09 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 Oct 2, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 210% 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 210% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0072 | 4.75*** |
| αARCH | 0.1898 | 3.43*** |
| βGARCH | 0.8564 | 77.31*** |
| γleverage | -0.1286 | -2.08** |
0.982
Persistence38d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0072 | 4.75*** |
α ARCH Response to squared shocks | 0.1898 | 3.43*** |
β GARCH Volatility persistence | 0.8564 | 77.31*** |
γ leverage Additional response to negative shocks | -0.1286 | -2.08** |
Persistence:
0.982
Half-life:
38 days
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