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, January 18th, 2022:20.08% (-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
$ω$	4.7412	5.94
$α$	0.0907	7.56
$β$	0.8713	62.26
$γ_{1}$	0.0485	5.69
$γ_{2}$	-0.0542	-4.55
$γ_{3}$	0.0112	1.33
$γ_{4}$	-0.0075	-0.57

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
Zero Slope Spline-GARCH
MEM
Asy. MEM
Asy. Power MEM
GAS-GARCH Student T
MF2-GARCH

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