Brazilian Real Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Wednesday, October 14th, 2026
1 Day
8.69%
decreased by 0.21%
1 Week
9.03%
increased by 0.13%
1 Month
10.16%
increased by 1.26%
Analysis last updated: Tuesday, October 13, 2026 at 07:11 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 9, 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 44 trading days.
τ
Zero Slope Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0771 | 3.37*** |
| αARCH | 0.0862 | 11.14*** |
| βGARCH | 0.8982 | 113.43*** |
Spline Coefficients
K=5
| γ1 | 0.0096 | 0.65 |
| γ2 | -0.0169 | -0.82 |
| γ3 | 0.0243 | 2.22** |
| γ4 | -0.0326 | -3.16*** |
| γ5 | 0.0195 | 2.17** |
0.984
Persistence44d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0771 | 3.37*** |
α ARCH Response to squared shocks | 0.0862 | 11.14*** |
β GARCH Volatility persistence | 0.8982 | 113.43*** |
Spline Coefficients
K=5
| γ1 | 0.0096 | 0.65 |
| γ2 | -0.0169 | -0.82 |
| γ3 | 0.0243 | 2.22** |
| γ4 | -0.0326 | -3.16*** |
| γ5 | 0.0195 | 2.17** |
Persistence:
0.984
Half-life:
44 days
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