V-Lab: CCM SOR SA de CV Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

CCM SOR SA de CV Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, July 11th, 2016:34.73% (-1.65%)

Analysis last updated: Friday, July 8, 2016 at 10:41 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9012	5.68
$α$	0.1728	6.43
$β$	0.7598	27.23
$γ_{1}$	-0.0791	-1.47
$γ_{2}$	0.0359	0.43
$γ_{3}$	0.1549	2.35
$γ_{4}$	-0.2035	-3.09
$γ_{5}$	0.0964	1.67
$γ_{6}$	0.0223	0.62

Estimation Period:
Sep 9, 1996 to Jul 8, 2016

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts