V-Lab: Cemex SAB de CV Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Cemex SAB de CV Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, November 12th, 2024:50.18% (-0.22%)

Analysis last updated: Tuesday, November 12, 2024 at 09:47 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9167	4.95
$α$	0.0749	8.57
$β$	0.8982	76.55
$γ_{1}$	0.0237	0.71
$γ_{2}$	-0.0848	-1.62
$γ_{3}$	0.1437	3.01
$γ_{4}$	-0.1514	-3.83
$γ_{5}$	0.1019	3.45
$γ_{6}$	-0.0181	-0.61
$γ_{7}$	-0.0647	-1.17

Estimation Period:
Apr 3, 1992 to Nov 8, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts