V-Lab
Brazilian Real Zero Slope Spline-GARCH Volatility Analysis
Volatility prediction for Tuesday, September 8th, 2026
1 Day
9.06%
decreased by 0.27%
1 Week
9.32%
decreased by 0.01%
1 Month
10.23%
increased by 0.90%
Analysis last updated: Monday, September 7, 2026 at 07:02 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1998 to Sep 4, 2026Model Insight
This model fits a time-varying baseline (a spline), so volatility mean-reverts toward a slowly-shifting long-run level rather than a constant. Short-run deviations decay with a half-life of 46 trading days.
τ
Zero Slope Spline-GARCH Model
Tap to view equation
Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.0903 | 3.37*** |
| αARCH | 0.0858 | 11.18*** |
| βGARCH | 0.8992 | 115.62*** |
Spline Coefficients
K=5
| γ1 | 0.0101 | 0.68 |
| γ2 | -0.0179 | -0.86 |
| γ3 | 0.0257 | 2.30** |
| γ4 | -0.0350 | -3.35*** |
| γ5 | 0.0220 | 2.49** |
0.985
Persistence46d
Half-lifeτ
Zero Slope Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.0903 | 3.37*** |
α ARCH Response to squared shocks | 0.0858 | 11.18*** |
β GARCH Volatility persistence | 0.8992 | 115.62*** |
Spline Coefficients
K=5
| γ1 | 0.0101 | 0.68 |
| γ2 | -0.0179 | -0.86 |
| γ3 | 0.0257 | 2.30** |
| γ4 | -0.0350 | -3.35*** |
| γ5 | 0.0220 | 2.49** |
Persistence:
0.985
Half-life:
46 days
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