V-Lab: S&P/BMV IPC VIX Zero Slope Spline-GARCH Volatility Analysis

Skip to main content

V-Lab

S&P/BMV IPC VIX Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 12th, 2025:68.84% (+9.20%)

Analysis last updated: Friday, December 12, 2025 at 09:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1216	3.18
$α$	0.3898	2.23
$β$	0.2301	1.99
$γ_{1}$	-1.7153	-2.17
$γ_{2}$	2.1977	1.55
$γ_{3}$	0.2568	0.23
$γ_{4}$	-1.7528	-1.82
$γ_{5}$	2.2689	2.15
$γ_{6}$	-2.7185	-2.56
$γ_{7}$	2.4957	2.73
$γ_{8}$	-1.5603	-1.44
$γ_{9}$	0.7194	0.60

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts