V-Lab: Ambev SA MF2-GARCH Volatility Analysis

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V-Lab

Ambev SA MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, May 8th, 2024:18.83% (+0.30%)

Analysis last updated: Wednesday, May 8, 2024 at 08:29 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	66
$α$	0.0589	13.40
$β$	0.7988	96.54
$γ$	0.0841	13.10
$λ_{1}$	0.0157	2.25
$λ_{2}$	0.0187	3.71
$λ_{3}$	0.9759	133.78

Estimation Period:
Sep 21, 1999 to May 3, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts