Mexican Stock Exchange Mexican Bolsa IPC Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 21st, 2026
1 Day
13.48%
increased by 0.21%
1 Week
13.70%
increased by 0.43%
1 Month
14.50%
increased by 1.23%
Analysis last updated: Monday, July 20, 2026 at 11:10 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Jul 17, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 77 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.42 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 2.0591 | 6.89*** |
α ARCH Response to squared shocks | 0.0751 | 40.44*** |
β GARCH Volatility persistence | 0.9911 | 795.39*** |
ν DF Student-t tail thickness | 7.4233 | 6.88*** |
Persistence:
0.991
Half-life:
77 days
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