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, January 15th, 2025:25.71% (-0.77%)

Analysis last updated: Tuesday, January 14, 2025 at 07:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1458	3.25
$α$	0.0858	10.93
$β$	0.9021	114.90
$γ_{1}$	0.0122	0.68
$γ_{2}$	-0.0226	-0.91
$γ_{3}$	0.0315	2.13
$γ_{4}$	-0.0378	-2.32
$γ_{5}$	0.0197	1.52

Estimation Period:
Dec 31, 1998 to Jan 10, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts