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, December 23rd, 2024:63.48% (+14.23%)

Analysis last updated: Friday, December 20, 2024 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	26
$α$	1.0000	9999900.00
$β$	0.1225	1225100.00
$γ$	-0.2450	-2450000.00
$λ_{1}$	0.2379	2378800.00
$λ_{2}$	0.1557	1557410.00
$λ_{3}$	0.2959	2958690.00

Estimation Period:
Jan 16, 1992 to Dec 20, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts