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

V-Lab

Brazilian Real Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, April 18th, 2025:18.13% (-0.79%)

Analysis last updated: Thursday, April 17, 2025 at 07:01 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1291	3.26
$α$	0.0885	11.23
$β$	0.8981	114.75
$γ_{1}$	0.0118	0.69
$γ_{2}$	-0.0217	-0.90
$γ_{3}$	0.0298	2.16
$γ_{4}$	-0.0356	-2.38
$γ_{5}$	0.0181	1.49

Estimation Period:
Dec 31, 1998 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts