iShares MSCI Mexico Capped ETF Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
18.97%
decreased by 0.57%
1 Week
19.91%
increased by 0.37%
1 Month
22.40%
increased by 2.86%
Analysis last updated: Monday, July 20, 2026 at 09:39 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 1, 1996 to Jul 17, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 13 trading days.
τ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.7851 | 5.45*** |
α ARCH Response to squared shocks | 0.1053 | 7.01*** |
β GARCH Volatility persistence | 0.8423 | 47.25*** |
Spline Coefficients
K=6
| γ1 | -0.1123 | -4.60*** |
| γ2 | 0.1744 | 5.06*** |
| γ3 | -0.1093 | -4.98*** |
| γ4 | 0.0860 | 4.10*** |
| γ5 | -0.0484 | -1.95* |
| γ6 | 0.0070 | 0.18 |
Persistence:
0.948
Half-life:
13 days
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