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 Friday, July 1st, 2022:23.26% (+0.11%)

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

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	0.0087	3.83
$α$	0.0771	3.23
$β$	0.9999	1204.74
$γ$	-0.0060	-0.32

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
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH

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