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{name} Model Equation

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Param	Value	t-stat
mwindow	21
αARCH	0.1426	9.34***
βGARCH	0.7601	27.59***
γleverage	-0.1178	-6.44***
λ₁tau intercept	0.0083	1.01
λ₂forecast adj.	0.0626	5.18***
λ₃tau persistence	0.9236	42.42***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1426	9.34***
β GARCH Volatility persistence	0.7601	27.59***
γ leverage Additional response to negative shocks	-0.1178	-6.44***
λ₁ tau intercept Baseline long-term coefficient	0.0083	1.01
λ₂ forecast adj. Forecast performance sensitivity	0.0626	5.18***
λ₃ tau persistence Long-term factor persistence	0.9236	42.42***

V-Lab

Brazilian Real MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Brazilian Real Analyses