V-Lab: Mexican Stock Exchange Mexican Bolsa IPC Index MF2-GARCH Volatility Analysis

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V-Lab

Mexican Stock Exchange Mexican Bolsa IPC Index MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, October 5th, 2022:17.92% (-0.78%)

Analysis last updated: Tuesday, October 4, 2022, 10:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0181	9.02
$β$	0.8369	187.09
$γ$	0.1643	33.26
$λ_{1}$	0.0032	6.77
$λ_{2}$	0.0272	9.59
$λ_{3}$	0.9713	322.04

Estimation Period:
Jan 2, 1990 to Sep 30, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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