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

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

Volatility Prediction for Tuesday, December 5th, 2023:14.06% (-0.41%)

Analysis last updated: Monday, December 4, 2023 at 11:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0186	9.48
$β$	0.8376	185.28
$γ$	0.1595	32.70
$λ_{1}$	0.0035	6.90
$λ_{2}$	0.0276	9.37
$λ_{3}$	0.9706	308.53

Estimation Period:
Jan 2, 1990 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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