Jemez says the win strengthens their chances of beating the drop.
He declared: "We played a spectacular game in all aspects, I always dreamed it, saying: 'I'm not going to beat Madrid in my life.' I can die peacefully, we've played even beyond our means.
"The pressure was knowing we had to win, because we are not used to beating Madrid, so we are very happy."
Adrian Embarba scored the only goal for Rayo from a video assistant referee-awarded penalty following a Jesus Vallejo foul on Javi Guerra.
Jemez added: "I have seen that Javi has fallen but from where I am I cannot tell you if it was or not (a penalty)."