V-Lab: Brazilian Real Spline-GARCH Volatility Analysis

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V-Lab

Brazilian Real Spline-GARCH Volatility Analysis

Volatility Prediction for Monday, October 27th, 2025:9.90% (-0.41%)

Analysis last updated: Sunday, October 26, 2025 at 01:54 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0275	3.71
$α$	0.0895	11.26
$β$	0.8975	115.00
$γ_{1}$	-0.0017	-0.41
$γ_{2}$	0.0092	1.55
$γ_{3}$	-0.0202	-3.22

Estimation Period:
Dec 31, 1998 to Oct 24, 2025

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Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts