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{name} Model Equation

How returns affect tomorrow's volatility

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Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	0.0072	3.66***
αARCH	0.0873	13.89***
βGARCH	0.9010	162.19***
γleverage	-0.1841	-3.41***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0072	3.66***
α ARCH Response to squared shocks	0.0873	13.89***
β GARCH Volatility persistence	0.9010	162.19***
γ leverage Additional response to negative shocks	-0.1841	-3.41***

V-Lab

Brazilian Real AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Brazilian Real Analyses