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

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V-Lab

Souza Cruz Ltda Spline-GARCH Volatility Analysis

Volatility Prediction for Tuesday, December 1st, 2015:38.29% (-2.80%)

Analysis last updated: Friday, January 29, 2016 at 02:52 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.9401	2.98
$α$	0.0929	6.09
$β$	0.7655	17.00
$γ_{1}$	0.2438	2.89
$γ_{2}$	-0.2030	-1.83
$γ_{3}$	-0.1432	-2.51
$γ_{4}$	0.2354	5.25
$γ_{5}$	-0.2588	-7.04
$γ_{6}$	0.1998	5.07
$γ_{7}$	-0.0540	-0.63

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts