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

V-Lab

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V-Lab

Grupo Mexico SAB de CV Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:33.92% (-0.60%)

Analysis last updated: Saturday, April 20, 2024 at 11:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1250	6.41
$α$	0.0745	8.55
$β$	0.8809	61.79
$γ_{1}$	0.0447	1.38
$γ_{2}$	-0.1063	-2.22
$γ_{3}$	0.1213	3.86
$γ_{4}$	-0.1215	-4.29
$γ_{5}$	0.1154	4.05
$γ_{6}$	-0.0574	-2.27
$γ_{7}$	-0.0089	-0.51

Estimation Period:
Aug 11, 1994 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts