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 Friday, April 19th, 2024:13.54% (+0.27%)

Analysis last updated: Thursday, April 18, 2024 at 07:04 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0097	3.55
$α$	0.0823	10.93
$β$	0.9061	120.02
$γ_{1}$	-0.0039	-0.77
$γ_{2}$	0.0136	1.86
$γ_{3}$	-0.0238	-2.95

Estimation Period:
Dec 31, 1998 to Apr 12, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts