V-Lab
Brazilian Real EGARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
8.10%
increased by 0.12%
1 Week
8.32%
increased by 0.34%
1 Month
9.22%
increased by 1.24%
Analysis last updated: Thursday, September 10, 2026 at 07:53 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1998 to Sep 4, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 100% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
σ
EGARCH Model
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Inverse leverage: Positive returns increase volatility 100% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0075 | 1.79* |
| αARCH | 0.1439 | 10.92*** |
| βGARCH | 0.9851 | 305.09*** |
| γleverage | 0.0478 | 4.19*** |
0.985
Persistence46d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0075 | 1.79* |
α ARCH Response to squared shocks | 0.1439 | 10.92*** |
β GARCH Volatility persistence | 0.9851 | 305.09*** |
γ leverage Additional response to negative shocks | 0.0478 | 4.19*** |
Persistence:
0.985
Half-life:
46 days
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