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 Friday, February 3rd, 2023:19.46% (+6.03%)

Analysis last updated: Thursday, February 2, 2023, 11:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0192	9.58
$β$	0.8350	185.15
$γ$	0.1643	33.21
$λ_{1}$	0.0033	6.90
$λ_{2}$	0.0273	9.61
$λ_{3}$	0.9711	320.92

Estimation Period:
Jan 2, 1990 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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