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V-Lab

iShares MSCI Mexico Capped ETF AGARCH Volatility Analysis

Volatility prediction for Monday, August 10th, 2026

1 Day

18.30%

decreased by 1.00%

1 Week

19.09%

decreased by 0.21%

1 Month

21.51%

increased by 2.21%

Analysis last updated: Friday, August 7, 2026 at 10:18 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of iShares MSCI Mexico Capped ETF AGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 1, 1996 to Aug 7, 2026

Model Insight

The news-impact curve is shifted (γ = 0.87) so that negative returns raise next-day volatility more than positive returns of the same size. The gap is largest for small shocks and narrows for larger ones.

σ

AGARCH Model

Tap to view equation

ParameterValuet-statistic
ω

const

Unconditional variance weight

0.0288
4.78***
α

ARCH

Response to squared shocks

0.0927
32.88***
β

GARCH

Volatility persistence

0.8787
301.34***
γ

leverage

Additional response to negative shocks

0.8652
20.66***

Persistence:

0.971

Half-life:

24 days