V-Lab: Brazilian Real GJR-GARCH Volatility Analysis

V-Lab

Brazilian Real GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, April 21st, 2025:17.65% (-0.38%)

Analysis last updated: Friday, April 18, 2025 at 07:09 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0066	19.29
$α$	0.1055	26.12
$β$	0.9175	618.24
$γ$	-0.0601	-11.64

Estimation Period:
Dec 31, 1998 to Apr 18, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts