Brazilian Real EGARCH Volatility Analysis
Volatility prediction for Wednesday, October 14th, 2026
1 Day
8.51%
decreased by 0.37%
1 Week
8.74%
decreased by 0.14%
1 Month
9.65%
increased by 0.77%
Analysis last updated: Tuesday, October 13, 2026 at 07:11 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 31, 1998 to Oct 9, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 104% 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 104% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 0.0075 | 1.76* |
| αARCH | 0.1446 | 10.96*** |
| βGARCH | 0.9846 | 297.74*** |
| γleverage | 0.0493 | 4.29*** |
0.985
Persistence45d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 0.0075 | 1.76* |
α ARCH Response to squared shocks | 0.1446 | 10.96*** |
β GARCH Volatility persistence | 0.9846 | 297.74*** |
γ leverage Additional response to negative shocks | 0.0493 | 4.29*** |
Persistence:
0.985
Half-life:
45 days
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