V-Lab
CBOE Brazil ETF Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, September 11th, 2026
1 Day
82.77%
decreased by 6.17%
1 Week
82.37%
decreased by 6.57%
1 Month
81.71%
decreased by 7.23%
Analysis last updated: Saturday, September 12, 2026 at 12:48 AM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Sep 10, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 362% 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
GJR-GARCH Model
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Inverse leverage: Positive returns increase volatility 362% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.1770 | 4.57*** |
| αARCH | 0.2072 | 3.68*** |
| βGARCH | 0.7146 | 16.35*** |
| γleverage | -0.1624 | -2.29** |
0.841
Persistence4d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.1770 | 4.57*** |
α ARCH Response to squared shocks | 0.2072 | 3.68*** |
β GARCH Volatility persistence | 0.7146 | 16.35*** |
γ leverage Additional response to negative shocks | -0.1624 | -2.29** |
Persistence:
0.841
Half-life:
4 days
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