Brazilian Real Spline-GARCH Volatility Analysis
Volatility prediction for Monday, October 12th, 2026
1 Day
21.45%
decreased by 0.78%
1 Week
21.38%
decreased by 0.85%
1 Month
21.16%
decreased by 1.07%
Analysis last updated: Friday, October 9, 2026 at 07:04 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1998 to Oct 9, 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 34 trading days.
τ
Spline-GARCH Model
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Time-varying baseline: volatility reverts to a slowly-shifting spline trend
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1085 | 2.83*** |
| αARCH | 0.0868 | 10.44*** |
| βGARCH | 0.8929 | 104.76*** |
Spline Coefficients
K=9
| γ1 | 0.0359 | 0.65 |
| γ2 | -0.0572 | -0.77 |
| γ3 | 0.0594 | 1.50 |
| γ4 | -0.1044 | -2.73*** |
| γ5 | 0.1607 | 3.63*** |
| γ6 | -0.1635 | -3.39*** |
| γ7 | 0.1073 | 2.49** |
| γ8 | -0.0950 | -1.96** |
| γ9 | 0.1476 | 1.77* |
0.980
Persistence34d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1085 | 2.83*** |
α ARCH Response to squared shocks | 0.0868 | 10.44*** |
β GARCH Volatility persistence | 0.8929 | 104.76*** |
Spline Coefficients
K=9
| γ1 | 0.0359 | 0.65 |
| γ2 | -0.0572 | -0.77 |
| γ3 | 0.0594 | 1.50 |
| γ4 | -0.1044 | -2.73*** |
| γ5 | 0.1607 | 3.63*** |
| γ6 | -0.1635 | -3.39*** |
| γ7 | 0.1073 | 2.49** |
| γ8 | -0.0950 | -1.96** |
| γ9 | 0.1476 | 1.77* |
Persistence:
0.980
Half-life:
34 days
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