V-Lab: Mexican Stock Exchange Mexican Bolsa IPC Index EGARCH Volatility Analysis

V-Lab

Mexican Stock Exchange Mexican Bolsa IPC Index EGARCH Volatility Analysis

Volatility Prediction for Friday, July 1st, 2022:22.41% (+0.85%)

Analysis last updated: Friday, July 1, 2022, 12:53 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0179	11.70
$α$	0.1941	44.77
$β$	0.9805	1083.43
$γ$	-0.0785	-22.84

Estimation Period:
Jan 2, 1990 to Jun 24, 2022

News Impact Curve

Volatility Forecasts

Other Mexican Stock Exchange Mexican Bolsa IPC Index Analyses
GARCH
GJR-GARCH
APARCH
AGARCH
MEM
Asy. MEM
GAS-GARCH Student T
MF2-GARCH

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