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 Monday, August 15th, 2022:22.62% (+3.40%)

Analysis last updated: Friday, August 12, 2022, 09:10 PM UTC

Date Range:

from

6M ·

1Y ·

2Y ·

5Y ·

10Y ·

All

Parameter Estimates

	param	t-stat
$ω$	4.7071	5.99
$α$	0.0903	7.61
$β$	0.8713	62.56
$γ_{1}$	0.0467	5.77
$γ_{2}$	-0.0526	-4.68
$γ_{3}$	0.0118	1.52
$γ_{4}$	-0.0104	-0.87

Estimation Period:
Jan 2, 1990 to Aug 12, 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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