V-Lab: Souza Cruz Ltda Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Souza Cruz Ltda Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 1st, 2015:35.46% (-2.98%)

Analysis last updated: Friday, January 29, 2016 at 02:42 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.8872	2.97
$α$	0.0933	5.91
$β$	0.7607	16.37
$γ_{1}$	0.2413	2.86
$γ_{2}$	-0.1998	-1.81
$γ_{3}$	-0.1446	-2.55
$γ_{4}$	0.2385	5.35
$γ_{5}$	-0.2681	-7.29
$γ_{6}$	0.2235	5.65
$γ_{7}$	-0.1143	-3.17

Estimation Period:
Dec 9, 1992 to Nov 27, 2015

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts