V-Lab: Brazilian Real GJR-GARCH Volatility Analysis

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V-Lab

Brazilian Real GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, December 4th, 2023:8.98% (-0.29%)

Analysis last updated: Sunday, December 3, 2023 at 01:45 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0061	18.56
$α$	0.0998	25.73
$β$	0.9204	619.78
$γ$	-0.0541	-10.77

Estimation Period:
Dec 31, 1998 to Dec 1, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts