V-Lab
US Dollar to Brazilian Real Spline-GARCH Volatility Analysis
High-persistence model: shocks decay very slowly, so the theoretical long-run value may not be practically meaningful
Volatility prediction for Monday, September 14th, 2026
1 Day
8.29%
decreased by 0.28%
1 Week
8.51%
decreased by 0.06%
1 Month
9.34%
increased by 0.77%
Analysis last updated: Friday, September 11, 2026 at 08:58 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1992 to Sep 11, 2026Model Insight
With persistence 1.000, volatility shocks have a half-life of 69314 trading days (~275.1 years), close to a unit root, so long-run forecasts are highly sensitive to this estimate.
τ
Spline-GARCH Model
Tap to view equation
High persistence: persistence 1.000, shock half-life ~69314 days
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1718 | 0.02 |
| αARCH | 0.0909 | 0.00 |
| βGARCH | 0.9091 | 0.01 |
Spline Coefficients
K=9
| γ1 | 0.5103 | 0.00 |
| γ2 | -1.3219 | 0.00 |
| γ3 | 1.7021 | 0.01 |
| γ4 | -1.3283 | 0.00 |
| γ5 | 0.4826 | 0.00 |
| γ6 | -0.0258 | 0.00 |
| γ7 | -0.0496 | 0.00 |
| γ8 | 0.0364 | 0.00 |
| γ9 | -0.0146 | 0.00 |
1.000
Persistence69314d
Half-lifeτ
Spline-GARCH Model
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1718 | 0.02 |
α ARCH Response to squared shocks | 0.0909 | 0.00 |
β GARCH Volatility persistence | 0.9091 | 0.01 |
Spline Coefficients
K=9
| γ1 | 0.5103 | 0.00 |
| γ2 | -1.3219 | 0.00 |
| γ3 | 1.7021 | 0.01 |
| γ4 | -1.3283 | 0.00 |
| γ5 | 0.4826 | 0.00 |
| γ6 | -0.0258 | 0.00 |
| γ7 | -0.0496 | 0.00 |
| γ8 | 0.0364 | 0.00 |
| γ9 | -0.0146 | 0.00 |
Persistence:
1.000
Half-life:
69314 days
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