V-Lab: Brazilian Real MF2-GARCH Volatility Analysis

V-Lab

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V-Lab

Brazilian Real MF2-GARCH Volatility Analysis

Volatility Prediction for Monday, September 25th, 2023:0.00% (-6.90%)

Analysis last updated: Friday, September 22, 2023 at 07:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	1.0000	9999900.00
$β$	0.0000	100.00
$γ$	0.0000	0.00
$λ_{1}$	0.1148	12.97
$λ_{2}$	1.0000	13.04
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 16, 1992 to Sep 22, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts