V-Lab: Ibovespa Brasil Sao Paulo Stock Exchange Index MF2-GARCH Volatility Analysis

V-Lab

Ibovespa Brasil Sao Paulo Stock Exchange Index MF2-GARCH Volatility Analysis

Volatility Prediction for Wednesday, April 16th, 2025:21.09% (-0.96%)

Analysis last updated: Tuesday, April 15, 2025 at 09:12 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0000	0.01
$β$	0.8018	192.31
$γ$	0.1650	45.92
$λ_{1}$	0.0790	3.87
$λ_{2}$	0.2126	23.15
$λ_{3}$	0.7672	58.52

Estimation Period:
Jan 2, 1990 to Apr 11, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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