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{name} Model Equation

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Param	Value	t-stat
mwindow	36
αARCH	0.1088	8.67***
βGARCH	0.8054	41.75***
γleverage	-0.1009	-6.40***
λ₁tau intercept	0.1048	1.23
λ₂forecast adj.	0.8385	7.28***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.1088	8.67***
β GARCH Volatility persistence	0.8054	41.75***
γ leverage Additional response to negative shocks	-0.1009	-6.40***
λ₁ tau intercept Baseline long-term coefficient	0.1048	1.23
λ₂ forecast adj. Forecast performance sensitivity	0.8385	7.28***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Brazilian Real MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Brazilian Real Analyses