US Dollar to Brazilian Real EGARCH Volatility Analysis
Volatility prediction for Friday, October 9th, 2026
1 Day
11.92%
increased by 0.58%
1 Week
12.05%
increased by 0.71%
1 Month
12.53%
increased by 1.19%
Analysis last updated: Thursday, October 8, 2026 at 07:18 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1992 to Oct 2, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 161% 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 161% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | -0.0017 | -0.18 |
| αARCH | 0.1187 | 3.54*** |
| βGARCH | 0.9773 | 275.46*** |
| γleverage | 0.0529 | 5.94*** |
0.977
Persistence30d
Half-lifeσ
EGARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0017 | -0.18 |
α ARCH Response to squared shocks | 0.1187 | 3.54*** |
β GARCH Volatility persistence | 0.9773 | 275.46*** |
γ leverage Additional response to negative shocks | 0.0529 | 5.94*** |
Persistence:
0.977
Half-life:
30 days
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