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 Wednesday, December 4th, 2024:8.04% (-0.03%)

Analysis last updated: Tuesday, December 3, 2024 at 07:01 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
$λ_{1}$	0.2028	161.21
$λ_{2}$	0.6570	64.61
$λ_{3}$	0.0000	0.00

Estimation Period:
Jan 16, 1992 to Nov 29, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts