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, January 18th, 2022:20.29% (-0.74%)

Analysis last updated: Monday, January 17, 2022, 08:31 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	4.7254	5.93
$α$	0.0907	7.56
$β$	0.8712	62.19
$γ_{1}$	0.0480	5.68
$γ_{2}$	-0.0532	-4.59
$γ_{3}$	0.0097	1.44
$γ_{4}$	-0.0044	-0.90

Estimation Period:
Jan 2, 1990 to Jan 14, 2022

News Impact Curve

Volatility Forecasts

Other Ibovespa Brasil Sao Paulo Stock Exchange Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH

We are currently experiencing issues updating our data. Unfortunately, we do not have an estimate as to when these issues will be resolved. We apologize for any inconvenience and are working as hard as we can to resolve these issues as soon as possible.