V-Lab: Gafisa SA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Gafisa SA Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 1st, 2024:83.07% (+1.48%)

Analysis last updated: Thursday, May 2, 2024 at 04:16 AM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9128	7.84
$α$	0.1190	7.07
$β$	0.7597	24.84
$γ_{1}$	0.7412	4.61
$γ_{2}$	-1.5005	-6.06
$γ_{3}$	1.4895	8.57
$γ_{4}$	-1.2802	-7.74
$γ_{5}$	0.8765	4.97
$γ_{6}$	-0.5450	-3.22
$γ_{7}$	0.5052	2.46
$γ_{8}$	-0.6157	-2.33
$γ_{9}$	0.7242	2.64
$γ_{10}$	-0.7560	-1.72

Estimation Period:
Feb 17, 2006 to Apr 26, 2024

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