V-Lab: Brazilian Real Zero Slope Spline-GARCH Volatility Analysis

V-Lab

Brazilian Real Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, June 2nd, 2025:11.56% (-0.28%)

Analysis last updated: Friday, May 30, 2025 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1205	3.27
$α$	0.0882	11.20
$β$	0.8980	114.52
$γ_{1}$	0.0118	0.70
$γ_{2}$	-0.0216	-0.91
$γ_{3}$	0.0296	2.21
$γ_{4}$	-0.0358	-2.48
$γ_{5}$	0.0189	1.60

Estimation Period:
Dec 31, 1998 to May 30, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts