V-Lab
Banco do Brasil SA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
37.03%
1 Week
36.98%
1 Month
36.76%
Analysis last updated: Friday, September 11, 2026 at 09:56 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 17, 1992 to Sep 4, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 475 trading days (~1.9 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 7.83 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 | 1.00 |
| αARCH | 0.1201 | 5.02*** |
| βGARCH | 0.9985 | 2,508.90*** |
| νDF | 7.8341 | 3.53*** |
0.999
Persistence475d
Half-lifeGAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 1.00 |
α ARCH Response to squared shocks | 0.1201 | 5.02*** |
β GARCH Volatility persistence | 0.9985 | 2,508.90*** |
ν DF Student-t tail thickness | 7.8341 | 3.53*** |
Persistence:
0.999
Half-life:
475 days
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