V-Lab: Brazilian Real GJR-GARCH Volatility Analysis

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V-Lab

Brazilian Real GJR-GARCH Volatility Analysis

Volatility Prediction for Monday, January 30th, 2023:13.51% (-0.52%)

Analysis last updated: Friday, January 27, 2023, 07:07 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.0061	18.46
$α$	0.1027	25.67
$β$	0.9183	603.35
$γ$	-0.0542	-10.47

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

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Volatility Forecasts

Volatility Forecasts