Ibovespa Brasil Sao Paulo Stock Exchange Index GAS-GARCH Student T Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
105,011.20%
decreased by 5,289.32%
1 Week
104,906.24%
decreased by 5,394.28%
1 Month
104,488.15%
decreased by 5,812.37%
Analysis last updated: Friday, October 16, 2026 at 09:32 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 2, 1990 to Oct 16, 2026Boundary Parameters
Model Insight
The estimated Student-t degrees of freedom v = 2.00 sit at the infinite-variance boundary (v → 2): the model is attributing extreme moves to heavy tails rather than to volatility, so the volatility scale is unreliable here. See the boundary-parameters flag.
𝑓
GAS-GARCH-T Model
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Unreliable tails: v = 2.00 sits at the infinite-variance boundary
| Param | Value | t-stat |
|---|---|---|
| ωconst | 8.1019 | 0.60 |
| αARCH | 0.0807 | 7.15*** |
| βGARCH | 0.9990 | 491.39*** |
| νDF | 2.0000 | 839.98*** |
0.999
Persistence693d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 8.1019 | 0.60 |
α ARCH Response to squared shocks | 0.0807 | 7.15*** |
β GARCH Volatility persistence | 0.9990 | 491.39*** |
ν DF Student-t tail thickness | 2.0000 | 839.98*** |
Persistence:
0.999
Half-life:
693 days
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