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{name} Model Equation

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Param	Value	t-stat
ωconst	1.0153	1.86*
αARCH	0.0878	10.95***
βGARCH	0.9114	129.30***

γ₁	0.9045	1.45
γ₂	-1.6765	-1.37
γ₃	1.3297	1.13
γ₄	-0.7149	-0.89
γ₅	0.0649	0.26
γ₆	0.1817	2.33**
γ₇	-0.1310	-1.86*
γ₈	0.0414	0.68
γ₉	-0.0054	-0.08
γ₁₀	0.0113	0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0153	1.86*
α ARCH Response to squared shocks	0.0878	10.95***
β GARCH Volatility persistence	0.9114	129.30***

γ₁	0.9045	1.45
γ₂	-1.6765	-1.37
γ₃	1.3297	1.13
γ₄	-0.7149	-0.89
γ₅	0.0649	0.26
γ₆	0.1817	2.33**
γ₇	-0.1310	-1.86*
γ₈	0.0414	0.68
γ₉	-0.0054	-0.08
γ₁₀	0.0113	0.22

V-Lab

US Dollar to Brazilian Real Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other US Dollar to Brazilian Real Analyses