V-Lab: Brazilian Real MF2-GARCH Volatility Analysis

V-Lab

| |

V-Lab

Brazilian Real MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, July 29th, 2024:3.56% (-16.11%)

Analysis last updated: Friday, July 26, 2024 at 07:33 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	1.0000	9999900.00
$β$	0.0858	857600.00
$γ$	-0.1715	-1715000.00
$λ_{1}$	0.2752	89.83
$λ_{2}$	0.1598	88.62
$λ_{3}$	0.1832	20.23

Estimation Period:
Jan 16, 1992 to Jul 26, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts