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

V-Lab

Brazilian Real Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, May 12th, 2025:13.43% (+1.47%)

Analysis last updated: Friday, May 9, 2025 at 07:11 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1221	3.27
$α$	0.0882	11.21
$β$	0.8981	114.57
$γ_{1}$	0.0119	0.70
$γ_{2}$	-0.0217	-0.91
$γ_{3}$	0.0296	2.19
$γ_{4}$	-0.0357	-2.44
$γ_{5}$	0.0185	1.55

Estimation Period:
Dec 31, 1998 to May 9, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts