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

V-Lab

Ibovespa Brasil Sao Paulo Stock Exchange Index EGARCH Volatility Analysis

Volatility Prediction for Tuesday, January 18th, 2022:24.34% (-0.39%)

Analysis last updated: Monday, January 17, 2022, 08:30 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0089	3.86
$α$	0.0771	3.24
$β$	0.9999	1191.76
$γ$	-0.0062	-0.32

Estimation Period:
Jan 2, 1990 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

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

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