V-Lab
Rio Bravo Multiestrategia Fundo de Investimento Imobiliario de Responsabilidade GAS-GARCH Student T Volatility Analysis
Volatility prediction for Thursday, October 1st, 2026
1 Day
20.02%
decreased by 1.63%
1 Week
20.46%
decreased by 1.19%
1 Month
22.03%
increased by 0.38%
Analysis last updated: Thursday, October 1, 2026 at 10:30 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jun 3, 2013 to Sep 25, 2026Model Insight
With persistence 0.991, volatility shocks have a half-life of 74 trading days (~0.3 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate. Returns follow a Student-t distribution with v = 3.60 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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High persistence: persistence 0.991, shock half-life ~74 daysv = 3.60 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 5.4243 | 1.23 |
| αARCH | 0.0906 | 11.89*** |
| βGARCH | 0.9907 | 149.02*** |
| νDF | 3.6046 | 6.41*** |
0.991
Persistence74d
Half-life𝑓
GAS-GARCH-T Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 5.4243 | 1.23 |
α ARCH Response to squared shocks | 0.0906 | 11.89*** |
β GARCH Volatility persistence | 0.9907 | 149.02*** |
ν DF Student-t tail thickness | 3.6046 | 6.41*** |
Persistence:
0.991
Half-life:
74 days
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