Mexican Stock Exchange Mexican Bolsa IPC Index Asy. MEM Volatility Analysis
Volatility prediction for Tuesday, November 3rd, 2026
1 Day
13.91%
decreased by 0.04%
1 Week
14.16%
increased by 0.21%
1 Month
15.07%
increased by 1.12%
Analysis last updated: Friday, October 30, 2026 at 11:06 PM UTC
Press Delete or Backspace to remove this series.
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 18, 1993 to Oct 30, 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
Tap to view equation
High persistence: persistence 0.990, shock half-life ~72 daysLeverage: Negative returns increase volatility 110% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0215 | 6.11*** |
| αARCH | 0.0923 | 7.84*** |
| βGARCH | 0.8471 | 94.65*** |
| γleverage | 0.1019 | 4.56*** |
0.990
Persistence72d
Half-lifeμ
AMEM Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0215 | 6.11*** |
α ARCH Response to squared shocks | 0.0923 | 7.84*** |
β GARCH Volatility persistence | 0.8471 | 94.65*** |
γ leverage Additional response to negative shocks | 0.1019 | 4.56*** |
Persistence:
0.990
Half-life:
72 days
Other Mexican Stock Exchange Mexican Bolsa IPC Index Analyses
Other Asy. MEM Analyses on Equity Indices