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 Wednesday, October 4th, 2023:19.32% (+0.59%)

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
$ω$	4.6365	6.00
$α$	0.0877	7.66
$β$	0.8749	65.31
$γ_{1}$	0.0427	5.70
$γ_{2}$	-0.0471	-4.64
$γ_{3}$	0.0079	1.43
$γ_{4}$	-0.0031	-0.81

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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