V-Lab: Gafisa SA Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Gafisa SA Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 22nd, 2024:92.06% (-3.32%)

Analysis last updated: Saturday, April 20, 2024 at 08:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.8896	7.70
$α$	0.1180	6.96
$β$	0.7588	24.25
$γ_{1}$	0.6971	4.35
$γ_{2}$	-1.4272	-5.79
$γ_{3}$	1.4358	8.32
$γ_{4}$	-1.2356	-7.52
$γ_{5}$	0.8397	4.79
$γ_{6}$	-0.5138	-3.06
$γ_{7}$	0.4749	2.36
$γ_{8}$	-0.5754	-2.25
$γ_{9}$	0.6494	2.82
$γ_{10}$	-0.5537	-3.87

Estimation Period:
Feb 17, 2006 to Apr 19, 2024

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