Brazilian Real MF2-GARCH Volatility Analysis
Volatility prediction for Friday, November 6th, 2026
1 Day
41.02%
1 Week
42.34%
1 Month
48.14%
Analysis last updated: Thursday, November 5, 2026 at 07:26 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Jan 16, 1992 to Oct 31, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 382% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 36 | |
| αARCH | 0.1041 | 8.37*** |
| βGARCH | 0.8054 | 40.69*** |
| γleverage | -0.0825 | -3.63*** |
| λ₁tau intercept | 0.1087 | 1.24 |
| λ₂forecast adj. | 0.8419 | 7.13*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.868
Persistence5d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 36 | |
α ARCH Response to squared shocks | 0.1041 | 8.37*** |
β GARCH Volatility persistence | 0.8054 | 40.69*** |
γ leverage Additional response to negative shocks | -0.0825 | -3.63*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1087 | 1.24 |
λ₂ forecast adj. Forecast performance sensitivity | 0.8419 | 7.13*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.868
Half-life:
5 days
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