V-Lab: Fomento Economico Mexicano SAB de CV Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Fomento Economico Mexicano SAB de CV Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 20th, 2024:18.55% (-0.89%)

Analysis last updated: Saturday, May 18, 2024 at 11:25 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.8666	7.49
$α$	0.0786	2.70
$β$	0.7097	5.26
$γ_{1}$	1.7625	1.21
$γ_{2}$	-2.2050	-0.95
$γ_{3}$	-0.7237	-0.54
$γ_{4}$	2.5579	2.70
$γ_{5}$	-0.8681	-0.88
$γ_{6}$	-3.2477	-2.57
$γ_{7}$	6.4979	4.13
$γ_{8}$	-7.0074	-3.89
$γ_{9}$	5.0811	1.18

Estimation Period:
Jun 2, 1998 to May 17, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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