V-Lab: Brazilian Real Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Brazilian Real Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:11.95% (-0.43%)

Analysis last updated: Friday, April 26, 2024 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0100	3.56
$α$	0.0827	10.95
$β$	0.9056	119.44
$γ_{1}$	-0.0038	-0.75
$γ_{2}$	0.0134	1.84
$γ_{3}$	-0.0232	-2.91

Estimation Period:
Dec 31, 1998 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts