V-Lab: Brazilian Real Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Brazilian Real Spline-GARCH Volatility Analysis

Volatility Prediction for Wednesday, March 19th, 2025:15.16% (+0.23%)

Analysis last updated: Tuesday, March 18, 2025 at 07:10 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0319	3.61
$α$	0.0904	11.34
$β$	0.8972	115.93
$γ_{1}$	-0.0025	-0.55
$γ_{2}$	0.0106	1.66
$γ_{3}$	-0.0208	-2.91

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

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts