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 Tuesday, November 23rd, 2021:20.67% (-0.69%)

Analysis last updated: Tuesday, November 23, 2021, 01:27 AM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	4.8245	6.08
$α$	0.0872	7.44
$β$	0.8773	63.57
$γ_{1}$	0.0485	6.17
$γ_{2}$	-0.0556	-4.92
$γ_{3}$	0.0133	1.55
$γ_{4}$	-0.0087	-0.69

Estimation Period:
Jan 2, 1990 to Nov 19, 2021

News Impact Curve

Volatility Forecasts

Other Ibovespa Brasil Sao Paulo Stock Exchange Index Analyses
GARCH
GJR-GARCH
EGARCH
APARCH
AGARCH
Zero Slope Spline-GARCH
GAS-GARCH Student T
MF2-GARCH

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