Mexican Stock Exchange Mexican Bolsa IPC Index Asy. MEM Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
14.38%
decreased by 0.76%
1 Week
14.61%
decreased by 0.53%
1 Month
15.47%
increased by 0.33%
Analysis last updated: Thursday, October 8, 2026 at 11:03 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 18, 1993 to Oct 2, 2026Model Insight
With persistence 0.990, volatility shocks have a half-life of 72 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
Leverage: Negative returns increase volatility 110% more than positive returns
μ
AMEM Model
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High persistence: persistence 0.990, shock half-life ~72 daysLeverage: Negative returns increase volatility 110% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0216 | 6.10*** |
| αARCH | 0.0925 | 7.83*** |
| βGARCH | 0.8469 | 94.37*** |
| γleverage | 0.1020 | 4.55*** |
0.990
Persistence72d
Half-lifeμ
AMEM Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0216 | 6.10*** |
α ARCH Response to squared shocks | 0.0925 | 7.83*** |
β GARCH Volatility persistence | 0.8469 | 94.37*** |
γ leverage Additional response to negative shocks | 0.1020 | 4.55*** |
Persistence:
0.990
Half-life:
72 days
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