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

V-Lab

|

V-Lab

Brazilian Real Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, June 2nd, 2023:11.80% (-0.20%)

Analysis last updated: Thursday, June 1, 2023 at 07:06 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0226	3.51
$α$	0.0859	10.95
$β$	0.9022	115.47
$γ_{1}$	-0.0031	-0.60
$γ_{2}$	0.0111	1.58
$γ_{3}$	-0.0133	-4.09

Estimation Period:
Dec 31, 1998 to May 27, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts