HGI Creditos Imobiliarios FII GJR-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, June 8th, 2026
1 Day
54.50%
decreased by 2.74%
1 Week
54.54%
decreased by 2.70%
1 Month
54.71%
decreased by 2.53%
Analysis last updated: Sunday, June 7, 2026 at 02:55 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
| param | t-stat | |
|---|---|---|
| 0.0089 | 5.92 | |
| 0.0405 | 3.54 | |
| 0.9061 | 181.29 | |
| 0.1068 | 3.99 |
Estimation Period:
Apr 13, 2021 to Jun 5, 2026
Apr 13, 2021 to Jun 5, 2026
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