Brazilian Real Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Friday, November 6th, 2026
1 Day
26.06%
decreased by 1.20%
1 Week
25.95%
decreased by 1.31%
1 Month
25.51%
decreased by 1.75%
Analysis last updated: Thursday, November 5, 2026 at 07:26 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1998 to Oct 31, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 57 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.2113 | 4.87*** |
| αARCH | 0.0887 | 11.07*** |
| βGARCH | 0.8991 | 108.98*** |
Spline Coefficients
K=2
| γ1 | 0.0043 | 3.15*** |
| γ2 | -0.0061 | -3.50*** |
0.988
Persistence57d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.2113 | 4.87*** |
α ARCH Response to squared shocks | 0.0887 | 11.07*** |
β GARCH Volatility persistence | 0.8991 | 108.98*** |
Spline Coefficients
K=2
| γ1 | 0.0043 | 3.15*** |
| γ2 | -0.0061 | -3.50*** |
Persistence:
0.988
Half-life:
57 days
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