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 Tuesday, April 30th, 2024:29.02% (-3.68%)

Analysis last updated: Tuesday, April 30, 2024 at 08:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9631	6.65
$α$	0.1894	9.86
$β$	0.6652	20.58
$γ_{1}$	-0.0178	-0.52
$γ_{2}$	-0.0019	-0.03
$γ_{3}$	0.0724	1.74
$γ_{4}$	-0.1084	-3.47
$γ_{5}$	0.0639	2.18
$γ_{6}$	0.0213	0.81
$γ_{7}$	-0.0437	-2.59

Estimation Period:
Apr 29, 1994 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts