V-Lab: Brazilian Real GJR-GARCH Volatility Analysis

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V-Lab

Brazilian Real GJR-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:10.52% (-0.18%)

Analysis last updated: Thursday, June 1, 2023 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0061	18.54
$α$	0.1013	25.61
$β$	0.9190	609.03
$γ$	-0.0534	-10.39

Estimation Period:
Dec 31, 1998 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts