V-Lab: Brazilian Real AGARCH Volatility Analysis

V-Lab

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V-Lab

Brazilian Real AGARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:13.61% (-0.66%)

Analysis last updated: Friday, January 27, 2023, 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0064	15.46
$α$	0.0911	54.34
$β$	0.9017	649.67
$γ$	-0.1395	-10.56

Estimation Period:
Dec 31, 1998 to Jan 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts