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 Tuesday, November 23rd, 2021:23.33% (-0.43%)

Analysis last updated: Tuesday, November 23, 2021, 01:26 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0534	5.61
$α$	0.0389	5.42
$β$	0.9280	523.39
$γ$	0.1344	13.61
$δ$	3.0000	9.84

Estimation Period:
Jan 2, 1990 to Nov 19, 2021

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
GAS-GARCH Student T
MF2-GARCH

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