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 Monday, June 5th, 2023:16.46% (-0.84%)

Analysis last updated: Friday, June 2, 2023 at 10:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0189	9.51
$β$	0.8361	186.00
$γ$	0.1627	33.18
$λ_{1}$	0.0032	6.84
$λ_{2}$	0.0272	9.57
$λ_{3}$	0.9711	319.55

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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