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, March 22nd, 2023:18.60% (-0.66%)

Analysis last updated: Tuesday, March 21, 2023, 08:31 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.6597	5.99
$α$	0.0890	7.63
$β$	0.8729	63.72
$γ_{1}$	0.0443	5.73
$γ_{2}$	-0.0492	-4.68
$γ_{3}$	0.0090	1.54
$γ_{4}$	-0.0041	-0.99

Estimation Period:
Jan 2, 1990 to Mar 17, 2023

News Impact Curve

Impact of return on volatility tomorrow

Volatility Forecasts

Volatility Forecasts

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