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

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V-Lab

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

Volatility Prediction for Wednesday, October 4th, 2023:20.61% (+1.51%)

Analysis last updated: Tuesday, October 3, 2023 at 08:32 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$m$	41
$α$	0.0000	0.01
$β$	0.7945	182.48
$γ$	0.1715	45.48
$λ_{1}$	0.1086	3.85
$λ_{2}$	0.2218	22.90
$λ_{3}$	0.7508	48.93

Estimation Period:
Jan 2, 1990 to Sep 29, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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