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
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Aug 7, 2026Model 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
| Parameter | Value | t-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
Other iShares MSCI Mexico Capped ETF Analyses
Other AGARCH Analyses on ETFs