V-Lab: Cemex SAB de CV Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Cemex SAB de CV Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:27.80% (-1.00%)

Analysis last updated: Friday, May 3, 2024 at 12:40 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9290	4.99
$α$	0.0770	8.59
$β$	0.8949	74.17
$γ_{1}$	0.0307	0.88
$γ_{2}$	-0.0970	-1.71
$γ_{3}$	0.1499	2.96
$γ_{4}$	-0.1450	-3.55
$γ_{5}$	0.0783	2.56
$γ_{6}$	0.0219	0.68
$γ_{7}$	-0.1249	-2.26

Estimation Period:
Apr 3, 1992 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts