V-Lab: S&P/BMV IPC VIX GJR-GARCH Volatility Analysis

V-Lab

S&P/BMV IPC VIX GJR-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 1st, 2025:87.31% (-14.83%)

Analysis last updated: Friday, May 2, 2025 at 11:51 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	5.0000	12.47
$α$	0.2246	7.80
$β$	0.5500	26.80
$γ$	0.1120	1.36

Estimation Period:
Jan 2, 2015 to Apr 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts