How volatility evolves over time

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How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.4113	2.95***
αARCH	0.0527	1.95*
βGARCH	0.5264	1.81*

γ₁	-11.3956	-3.42***
γ₂	15.2741	2.95***
γ₃	-6.4939	-1.61
γ₄	3.6105	1.02
γ₅	-2.8741	-1.11
γ₆	5.6367	2.66***
γ₇	-6.3705	-3.11***
γ₈	2.8642	1.69*
γ₉	1.5245	0.88
γ₁₀	-5.9525	-2.73***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4113	2.95***
α ARCH Response to squared shocks	0.0527	1.95*
β GARCH Volatility persistence	0.5264	1.81*

γ₁	-11.3956	-3.42***
γ₂	15.2741	2.95***
γ₃	-6.4939	-1.61
γ₄	3.6105	1.02
γ₅	-2.8741	-1.11
γ₆	5.6367	2.66***
γ₇	-6.3705	-3.11***
γ₈	2.8642	1.69*
γ₉	1.5245	0.88
γ₁₀	-5.9525	-2.73***

V-Lab

Fomento Economico Mexicano SAB de CV Spline ILLIQ Liquidity Analysis

Date Range:

News Impact Curve

Illiquidity Forecast

Parameter Estimates

Other Fomento Economico Mexicano SAB de CV Analyses