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{name} Model Equation

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Param	Value	t-stat
ωconst	1.0103	1.86*
αARCH	0.0863	10.94***
βGARCH	0.9128	130.80***

γ₁	0.8843	1.40
γ₂	-1.6351	-1.31
γ₃	1.2874	1.07
γ₄	-0.6771	-0.83
γ₅	0.0412	0.16
γ₆	0.1904	2.38**
γ₇	-0.1332	-1.85*
γ₈	0.0380	0.61
γ₉	0.0114	0.17
γ₁₀	-0.0106	-0.19

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0103	1.86*
α ARCH Response to squared shocks	0.0863	10.94***
β GARCH Volatility persistence	0.9128	130.80***

γ₁	0.8843	1.40
γ₂	-1.6351	-1.31
γ₃	1.2874	1.07
γ₄	-0.6771	-0.83
γ₅	0.0412	0.16
γ₆	0.1904	2.38**
γ₇	-0.1332	-1.85*
γ₈	0.0380	0.61
γ₉	0.0114	0.17
γ₁₀	-0.0106	-0.19

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