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 Thursday, May 2nd, 2024:36.84% (-1.29%)

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
$ω$	1.1242	6.40
$α$	0.0745	8.56
$β$	0.8809	61.82
$γ_{1}$	0.0443	1.37
$γ_{2}$	-0.1055	-2.20
$γ_{3}$	0.1206	3.84
$γ_{4}$	-0.1209	-4.28
$γ_{5}$	0.1151	4.05
$γ_{6}$	-0.0575	-2.28
$γ_{7}$	-0.0088	-0.51

Estimation Period:
Aug 11, 1994 to Apr 30, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts