V-Lab: Ibovespa Brasil Sao Paulo Stock Exchange Index Zero Slope Spline-GARCH Volatility Analysis

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V-Lab

Ibovespa Brasil Sao Paulo Stock Exchange Index Zero Slope Spline-GARCH Volatility Analysis

Volatility Prediction for Friday, December 9th, 2022:25.20% (+1.15%)

Analysis last updated: Thursday, December 8, 2022, 08:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.6817	5.98
$α$	0.0896	7.64
$β$	0.8724	63.46
$γ_{1}$	0.0452	5.73
$γ_{2}$	-0.0502	-4.67
$γ_{3}$	0.0093	1.54
$γ_{4}$	-0.0043	-1.00

Estimation Period:
Jan 2, 1990 to Dec 2, 2022

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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