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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0070	5.07***
αARCH	0.1025	6.62***
βGARCH	0.9184	156.32***
γleverage	-0.0593	-2.99***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0070	5.07***
α ARCH Response to squared shocks	0.1025	6.62***
β GARCH Volatility persistence	0.9184	156.32***
γ leverage Additional response to negative shocks	-0.0593	-2.99***

V-Lab

Brazilian Real GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Brazilian Real Analyses