V-Lab: Empresas ICA SAB de CV Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Empresas ICA SAB de CV Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, August 6th, 2019:6.94% (-0.09%)

Analysis last updated: Saturday, August 3, 2019 at 10:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0102	3.24
$α$	0.0982	7.56
$β$	0.8929	67.76
$γ_{1}$	0.0883	0.55
$γ_{2}$	-0.0190	-0.07
$γ_{3}$	-0.1748	-0.66
$γ_{4}$	0.0314	0.13
$γ_{5}$	0.1520	0.87
$γ_{6}$	-0.0313	-0.15
$γ_{7}$	-0.5600	-1.97
$γ_{8}$	1.7633	3.30
$γ_{9}$	-2.8936	-4.42

Estimation Period:
Apr 9, 1992 to Aug 2, 2019

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts