Banco do Brasil SA GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
26.64%
increased by 0.70%
1 Week
26.60%
increased by 0.66%
1 Month
26.44%
increased by 0.50%
Analysis last updated: Tuesday, July 14, 2026 at 08:37 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Apr 17, 1992 to Jul 10, 2026Model Insight
With persistence 0.999, volatility shocks have a half-life of 473 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.
𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0000 | 5.00*** |
α ARCH Response to squared shocks | 0.1201 | 20.04*** |
β GARCH Volatility persistence | 0.9985 | 9,985.36*** |
ν DF Student-t tail thickness | 7.8334 | 14.10*** |
Persistence:
0.999
Half-life:
473 days
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