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

V-Lab

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V-Lab

Brazilian Real Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, February 5th, 2025:12.34% (-0.12%)

Analysis last updated: Tuesday, February 4, 2025 at 07:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1354	3.25
$α$	0.0874	11.06
$β$	0.8996	114.50
$γ_{1}$	0.0123	0.70
$γ_{2}$	-0.0227	-0.92
$γ_{3}$	0.0312	2.17
$γ_{4}$	-0.0375	-2.37
$γ_{5}$	0.0196	1.56

Estimation Period:
Dec 31, 1998 to Jan 31, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts