V-Lab: Brazilian Real GJR-GARCH Volatility Analysis

V-Lab

Brazilian Real GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, May 19th, 2025:11.46% (+0.35%)

Analysis last updated: Friday, May 16, 2025 at 07:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0067	19.40
$α$	0.1056	26.14
$β$	0.9172	616.40
$γ$	-0.0604	-11.70

Estimation Period:
Dec 31, 1998 to May 16, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts