V-Lab
Banco do Brasil SA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Wednesday, October 7th, 2026
1 Day
67.76%
1 Week
67.68%
1 Month
67.38%
Analysis last updated: Wednesday, October 7, 2026 at 09:01 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 17, 1992 to Oct 2, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 607 trading days (~2.4 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.78 degrees of freedom, capturing fatter tails than a normal distribution.
GAS-GARCH-T Model
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| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0000 | 1.33 |
| αARCH | 0.1359 | 6.39*** |
| βGARCH | 0.9989 | 3,351.87*** |
| νDF | 7.7824 | 3.89*** |
0.999
Persistence607d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 1.33 |
α ARCH Response to squared shocks | 0.1359 | 6.39*** |
β GARCH Volatility persistence | 0.9989 | 3,351.87*** |
ν DF Student-t tail thickness | 7.7824 | 3.89*** |
Persistence:
0.999
Half-life:
607 days
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