Mexican Stock Exchange Mexican Bolsa IPC Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 23rd, 2026
1 Day
13.98%
decreased by 0.15%
1 Week
14.33%
increased by 0.20%
1 Month
15.59%
increased by 1.46%
Analysis last updated: Thursday, October 22, 2026 at 11:10 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 73 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 245% more than positive returns
σ
GJR-GARCH Model
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High persistence: persistence 0.991, shock half-life ~73 daysLeverage: Negative returns increase volatility 245% more than positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0273 | 5.63*** |
| αARCH | 0.0424 | 5.54*** |
| βGARCH | 0.8963 | 111.56*** |
| γleverage | 0.1039 | 4.18*** |
0.991
Persistence73d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0273 | 5.63*** |
α ARCH Response to squared shocks | 0.0424 | 5.54*** |
β GARCH Volatility persistence | 0.8963 | 111.56*** |
γ leverage Additional response to negative shocks | 0.1039 | 4.18*** |
Persistence:
0.991
Half-life:
73 days
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