V-Lab: Brazilian Real AGARCH Volatility Analysis

V-Lab

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V-Lab

Brazilian Real AGARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:13.66% (+5.39%)

Analysis last updated: Friday, September 22, 2023 at 07:30 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0064	15.27
$α$	0.0888	54.97
$β$	0.9032	666.09
$γ$	-0.1463	-11.12

Estimation Period:
Dec 31, 1998 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts