V-Lab: Ambev SA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Ambev SA Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, April 18th, 2024:20.62% (-0.66%)

Analysis last updated: Friday, April 19, 2024 at 08:14 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.6609	5.37
$α$	0.0934	4.57
$β$	0.7969	19.71
$γ_{1}$	-0.0508	-0.42
$γ_{2}$	0.0802	0.48
$γ_{3}$	0.1066	1.05
$γ_{4}$	-0.3289	-3.15
$γ_{5}$	0.3502	3.64
$γ_{6}$	-0.2752	-2.94
$γ_{7}$	0.1697	1.67
$γ_{8}$	0.0936	0.93
$γ_{9}$	-0.4231	-3.97
$γ_{10}$	0.4890	2.65

Estimation Period:
Sep 21, 1999 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts