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 Thursday, May 2nd, 2024:17.69% (+5.17%)

Analysis last updated: Tuesday, April 30, 2024 at 11:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	0.0186	9.59
$β$	0.8370	181.60
$γ$	0.1574	32.17
$λ_{1}$	0.0037	6.89
$λ_{2}$	0.0286	9.16
$λ_{3}$	0.9694	290.51

Estimation Period:
Jan 2, 1990 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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