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 Thursday, April 25th, 2024:4.04% (-12.41%)

Analysis last updated: Wednesday, April 24, 2024 at 07:05 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	1.0000	9999900.00
$β$	0.1750	1750100.00
$γ$	-0.3500	-3500000.00
$λ_{1}$	0.2977	2976810.00
$λ_{2}$	0.3000	3000040.00
$λ_{3}$	0.0000	100.00

Estimation Period:
Jan 16, 1992 to Apr 19, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts