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, October 25th, 2021:12.18% (-0.18%)

Analysis last updated: Saturday, October 23, 2021, 04:51 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0130	6.49
$β$	0.8500	202.39
$γ$	0.1517	32.56
$λ_{1}$	0.0025	5.68
$λ_{2}$	0.0258	8.90
$λ_{3}$	0.9730	317.44

Estimation Period:
Jan 2, 1990 to Oct 22, 2021

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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