V-Lab: Ibovespa Brasil Sao Paulo Stock Exchange Index APARCH Volatility Analysis

V-Lab

Ibovespa Brasil Sao Paulo Stock Exchange Index APARCH Volatility Analysis

Volatility Prediction for Friday, July 1st, 2022:22.89% (-0.24%)

Analysis last updated: Thursday, June 30, 2022, 08:31 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0553	5.44
$α$	0.0395	5.42
$β$	0.9277	534.38
$γ$	0.1320	13.95
$δ$	3.0000	9.72

Estimation Period:
Jan 2, 1990 to Jun 24, 2022

News Impact Curve

Volatility Forecasts

Other Ibovespa Brasil Sao Paulo Stock Exchange Index Analyses
GARCH
GJR-GARCH
EGARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH

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