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, September 20th, 2024:15.00% (-0.57%)

Analysis last updated: Thursday, September 19, 2024 at 07:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	1.0106	3.61
$α$	0.0825	11.01
$β$	0.9056	119.90
$γ_{1}$	-0.0033	-0.70
$γ_{2}$	0.0125	1.82
$γ_{3}$	-0.0235	-3.12

Estimation Period:
Dec 31, 1998 to Sep 13, 2024

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts