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

V-Lab

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V-Lab

Alfa SAB de CV Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:24.93% (-1.10%)

Analysis last updated: Saturday, April 20, 2024 at 11:23 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1178	8.72
$α$	0.1299	7.52
$β$	0.7772	29.59
$γ_{1}$	-0.0350	-1.62
$γ_{2}$	0.1116	3.30
$γ_{3}$	-0.1845	-6.25
$γ_{4}$	0.1895	6.77
$γ_{5}$	-0.1163	-4.35
$γ_{6}$	0.0441	1.62
$γ_{7}$	-0.0056	-0.23
$γ_{8}$	-0.0070	-0.47

Estimation Period:
Jan 2, 1990 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts