V-Lab: Gruma SAB de CV Zero Slope Spline-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Gruma SAB de CV Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 6th, 2024:24.37% (-1.87%)

Analysis last updated: Saturday, May 4, 2024 at 10:15 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9622	6.65
$α$	0.1895	9.86
$β$	0.6646	20.54
$γ_{1}$	-0.0182	-0.53
$γ_{2}$	-0.0011	-0.02
$γ_{3}$	0.0716	1.72
$γ_{4}$	-0.1080	-3.48
$γ_{5}$	0.0642	2.20
$γ_{6}$	0.0205	0.78
$γ_{7}$	-0.0431	-2.56

Estimation Period:
Apr 29, 1994 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts