V-Lab: BRF SA MF2-GARCH Volatility Analysis

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V-Lab

BRF SA MF2-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 2nd, 2024:36.49% (-1.23%)

Analysis last updated: Friday, May 3, 2024 at 05:15 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	21
$α$	0.0667	11.56
$β$	0.7000	28.90
$γ$	0.0894	11.03
$λ_{1}$	0.0322	1.57
$λ_{2}$	0.0342	2.26
$λ_{3}$	0.9604	54.86

Estimation Period:
Jul 5, 1994 to Apr 26, 2024

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts