V-Lab: Brazilian Real GJR-GARCH Volatility Analysis

V-Lab

Brazilian Real GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:10.87% (-0.31%)

Analysis last updated: Friday, May 30, 2025 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0067	19.42
$α$	0.1056	26.16
$β$	0.9172	616.83
$γ$	-0.0605	-11.73

Estimation Period:
Dec 31, 1998 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts