V-Lab: Grupo Sanborns SAB de CV Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Grupo Sanborns SAB de CV Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 7th, 2023:29.76% (0.00%)

Analysis last updated: Tuesday, November 7, 2023 at 10:26 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.7698	4.25
$α$	0.0847	2.93
$β$	0.7904	8.88
$γ_{1}$	-2.2730	-2.31
$γ_{2}$	3.2817	2.21
$γ_{3}$	-1.0892	-1.09
$γ_{4}$	-0.5633	-0.70
$γ_{5}$	1.1121	1.23
$γ_{6}$	-0.4932	-0.42
$γ_{7}$	0.2860	0.22
$γ_{8}$	-0.1815	-0.10
$γ_{9}$	-2.7045	-0.90
$γ_{10}$	9.4377	2.69

Estimation Period:
Feb 8, 2013 to Nov 3, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts