V-Lab: US Dollar to Mexican Peso MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

US Dollar to Mexican Peso MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, November 14th, 2024:5.28% (-9.33%)

Analysis last updated: Wednesday, November 13, 2024 at 07:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	51
$α$	0.3495	3494730.00
$β$	0.4005	4005270.00
$γ$	0.5000	5000000.00
$λ_{1}$	0.1758	1758320.00
$λ_{2}$	0.2732	2732470.00
$λ_{3}$	0.0000	100.00

Estimation Period:
May 30, 1990 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts