V-Lab: CCM SOR SA de CV Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CCM SOR SA de CV Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 11th, 2016:34.06% (-2.02%)

Analysis last updated: Friday, July 8, 2016 at 10:40 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8717	5.25
$α$	0.1814	5.97
$β$	0.7393	24.67
$γ_{1}$	-0.0851	-0.58
$γ_{2}$	0.0188	0.08
$γ_{3}$	0.0200	0.12
$γ_{4}$	0.1862	1.16
$γ_{5}$	-0.1087	-0.63
$γ_{6}$	-0.2450	-1.26
$γ_{7}$	0.4250	2.40
$γ_{8}$	-0.4288	-2.36
$γ_{9}$	0.3527	1.27

Estimation Period:
Sep 9, 1996 to Jul 8, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts