V-Lab: Gafisa SA Spline-GARCH Volatility Analysis

V-Lab

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V-Lab

Gafisa SA Spline-GARCH Volatility Analysis

Volatility Prediction for Thursday, May 16th, 2024:65.04% (-1.01%)

Analysis last updated: Thursday, May 16, 2024 at 07:43 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	0.9109	7.77
$α$	0.1197	7.15
$β$	0.7615	25.45
$γ_{1}$	0.7288	4.52
$γ_{2}$	-1.4796	-5.96
$γ_{3}$	1.4763	8.46
$γ_{4}$	-1.2763	-7.71
$γ_{5}$	0.8824	4.97
$γ_{6}$	-0.5572	-3.27
$γ_{7}$	0.5214	2.56
$γ_{8}$	-0.6406	-2.44
$γ_{9}$	0.7744	2.87
$γ_{10}$	-0.9245	-2.22

Estimation Period:
Feb 17, 2006 to May 10, 2024

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