V-Lab: Alfa SAB de CV Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Alfa SAB de CV Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 17th, 2024:28.39% (+2.28%)

Analysis last updated: Wednesday, April 17, 2024 at 08:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1179	8.72
$α$	0.1302	7.53
$β$	0.7766	29.53
$γ_{1}$	-0.0350	-1.63
$γ_{2}$	0.1116	3.31
$γ_{3}$	-0.1845	-6.25
$γ_{4}$	0.1895	6.77
$γ_{5}$	-0.1163	-4.35
$γ_{6}$	0.0439	1.61
$γ_{7}$	-0.0050	-0.21
$γ_{8}$	-0.0076	-0.51

Estimation Period:
Jan 2, 1990 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts