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

V-Lab

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

Volatility Prediction for Friday, July 4th, 2025:13.94% (+0.95%)

Analysis last updated: Thursday, July 3, 2025 at 09:13 PM UTC

Date Range:

from

to

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

Parameter Estimates

	param	t-stat
$ω$	4.6165	6.03
$α$	0.0836	7.78
$β$	0.8816	70.22
$γ_{1}$	0.0395	5.81
$γ_{2}$	-0.0451	-4.86
$γ_{3}$	0.0125	2.15
$γ_{4}$	-0.0223	-2.51

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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