V-Lab: Mexican Stock Exchange Mexican Bolsa IPC Index MF2-GARCH Volatility Analysis

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V-Lab

Mexican Stock Exchange Mexican Bolsa IPC Index MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:15.98% (-0.75%)

Analysis last updated: Saturday, May 4, 2024 at 12:01 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0185	9.57
$β$	0.8372	181.76
$γ$	0.1572	32.15
$λ_{1}$	0.0037	6.88
$λ_{2}$	0.0286	9.15
$λ_{3}$	0.9694	290.25

Estimation Period:
Jan 2, 1990 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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