US Dollar to Brazilian Real EGARCH Volatility Analysis
Volatility prediction for Tuesday, July 14th, 2026
1 Day
9.00%
decreased by 0.18%
1 Week
9.22%
increased by 0.04%
1 Month
10.03%
increased by 0.85%
Analysis last updated: Monday, July 13, 2026 at 07:13 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1992 to Jul 10, 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
Tap to view equation
| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | -0.0016 | -0.68 |
α ARCH Response to squared shocks | 0.1190 | 14.18*** |
β GARCH Volatility persistence | 0.9773 | 1,098.03*** |
γ leverage Additional response to negative shocks | 0.0530 | 23.78*** |
Persistence:
0.977
Half-life:
30 days
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