Skip to main content
V-Lab

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

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

graph of iShares MSCI Mexico Capped ETF EGARCH

News Impact Curve

How returns affect tomorrow's volatility

Volatility Forecast

How volatility evolves over time

Parameter Estimates

Apr 1, 1996 to Jul 10, 2026

Model 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

ParameterValuet-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