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 Monday, June 30th, 2025:14.48% (-0.40%)

Analysis last updated: Friday, June 27, 2025 at 09:08 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.6710	5.87
$α$	0.0839	7.95
$β$	0.8839	74.13
$γ_{1}$	0.0378	5.39
$γ_{2}$	-0.0403	-4.23
$γ_{3}$	0.0024	0.47
$γ_{4}$	0.0026	0.79

Estimation Period:
Jan 2, 1990 to Jun 27, 2025

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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