V-Lab: Ibovespa Brasil Sao Paulo Stock Exchange Index Zero Slope Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Ibovespa Brasil Sao Paulo Stock Exchange Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, April 29th, 2024:15.81% (+1.35%)

Analysis last updated: Friday, April 26, 2024 at 09:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.6513	5.94
$α$	0.0864	7.76
$β$	0.8781	68.35
$γ_{1}$	0.0409	5.58
$γ_{2}$	-0.0445	-4.48
$γ_{3}$	0.0056	1.06
$γ_{4}$	-0.0008	-0.21

Estimation Period:
Jan 2, 1990 to Apr 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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