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

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V-Lab

Brazilian Real Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, October 5th, 2023:13.99% (+3.48%)

Analysis last updated: Wednesday, October 4, 2023 at 07:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0349	3.56
$α$	0.0848	10.95
$β$	0.9036	117.28
$γ_{1}$	-0.0022	-0.44
$γ_{2}$	0.0092	1.37
$γ_{3}$	-0.0118	-3.91

Estimation Period:
Dec 31, 1998 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts