US Dollar to Brazilian Real MF2-GARCH Volatility Analysis
Volatility prediction for Monday, October 19th, 2026
1 Day
12.90%
1 Week
14.20%
1 Month
17.97%
Analysis last updated: Sunday, October 18, 2026 at 03:14 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Dec 22, 1992 to Oct 16, 2026Model Insight
This asset shows a rare inverse leverage effect: volatility responds almost entirely to positive returns, rising far more after gains than after losses. This is the reverse of the usual leverage effect, rare among risky assets.
MF2-GARCH Model
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| Param | Value | t-stat |
|---|---|---|
| mwindow | 36 | |
| αARCH | 0.1085 | 7.34*** |
| βGARCH | 0.8013 | 36.32*** |
| γleverage | -0.0984 | -6.30*** |
| λ₁tau intercept | 0.1002 | 1.22 |
| λ₂forecast adj. | 0.8434 | 6.51*** |
| λ₃tau persistence | 0.0000 | 0.00 |
0.861
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 | 0.1085 | 7.34*** |
β GARCH Volatility persistence | 0.8013 | 36.32*** |
γ leverage Additional response to negative shocks | -0.0984 | -6.30*** |
λ₁ tau intercept Baseline long-term coefficient | 0.1002 | 1.22 |
λ₂ forecast adj. Forecast performance sensitivity | 0.8434 | 6.51*** |
λ₃ tau persistence Long-term factor persistence | 0.0000 | 0.00 |
Persistence:
0.861
Half-life:
5 days
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