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

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V-Lab

Gruma SAB de CV Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:44.35% (-6.87%)

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
$ω$	0.9617	6.64
$α$	0.1901	9.87
$β$	0.6640	20.49
$γ_{1}$	-0.0182	-0.53
$γ_{2}$	-0.0015	-0.03
$γ_{3}$	0.0722	1.73
$γ_{4}$	-0.1084	-3.47
$γ_{5}$	0.0639	2.18
$γ_{6}$	0.0213	0.82
$γ_{7}$	-0.0439	-2.59

Estimation Period:
Apr 29, 1994 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts