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

V-Lab

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

Volatility Prediction for Tuesday, April 22nd, 2025:20.78% (-0.37%)

Analysis last updated: Thursday, April 17, 2025 at 09:02 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.6803	5.87
$α$	0.0840	7.92
$β$	0.8836	73.68
$γ_{1}$	0.0384	5.43
$γ_{2}$	-0.0411	-4.28
$γ_{3}$	0.0031	0.61
$γ_{4}$	0.0018	0.56

Estimation Period:
Jan 2, 1990 to Apr 17, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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