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, November 23rd, 2021:27.04% (-0.32%)

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
$ω$	0.0095	3.79
$α$	0.0769	3.48
$β$	0.9999	1680.57
$γ$	-0.0102	-0.54

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
APARCH
AGARCH
Spline-GARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH

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