V-Lab: Brazilian Real GJR-GARCH Volatility Analysis

V-Lab

Brazilian Real GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, July 7th, 2025:8.84% (-0.29%)

Analysis last updated: Sunday, July 6, 2025 at 01:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0067	19.45
$α$	0.1058	26.20
$β$	0.9172	616.37
$γ$	-0.0609	-11.82

Estimation Period:
Dec 31, 1998 to Jul 4, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts