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 Monday, November 17th, 2025:8.84% (-0.25%)

Analysis last updated: Friday, November 14, 2025 at 07:14 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.1210	3.31
$α$	0.0883	11.28
$β$	0.8978	114.56
$γ_{1}$	0.0113	0.70
$γ_{2}$	-0.0205	-0.91
$γ_{3}$	0.0287	2.31
$γ_{4}$	-0.0370	-2.90
$γ_{5}$	0.0218	2.06

Estimation Period:
Dec 31, 1998 to Nov 14, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts