V-Lab: iShares MSCI Mexico Capped ETF MF2-GARCH Volatility Analysis

V-Lab

iShares MSCI Mexico Capped ETF MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, June 16th, 2025:20.88% (+0.53%)

Analysis last updated: Friday, June 13, 2025 at 10:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	56
$α$	0.0119	3.11
$β$	0.8526	221.56
$γ$	0.1587	29.92
$λ_{1}$	0.0111	6.29
$λ_{2}$	0.0247	6.45
$λ_{3}$	0.9718	219.82

Estimation Period:
Apr 1, 1996 to Jun 13, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

Other iShares MSCI Mexico Capped ETF Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
GAS-GARCH Student T