iShares MSCI Mexico Capped ETF EGARCH Volatility Analysis
Volatility prediction for Thursday, July 16th, 2026
1 Day
21.98%
decreased by 1.29%
1 Week
22.29%
decreased by 0.98%
1 Month
23.38%
increased by 0.11%
Analysis last updated: Wednesday, July 15, 2026 at 09:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Jul 10, 2026Model Insight
This asset exhibits a strong leverage effect: negative returns increase next-day volatility 307% more than equivalent positive returns.
σ
EGARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0308 | 8.80*** |
α ARCH Response to squared shocks | 0.1612 | 35.52*** |
β GARCH Volatility persistence | 0.9745 | 684.32*** |
γ leverage Additional response to negative shocks | -0.0976 | -23.05*** |
Persistence:
0.974
Half-life:
27 days
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