CBOE Brazil ETF Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 30th, 2026
1 Day
109.19%
decreased by 12.03%
1 Week
102.36%
decreased by 18.86%
1 Month
90.43%
decreased by 30.79%
Analysis last updated: Friday, October 30, 2026 at 06:40 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Oct 22, 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.
σ
GJR-GARCH Model
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Inverse leverage: volatility responds almost entirely to positive returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.2732 | 4.50*** |
| αARCH | 0.2045 | 3.23*** |
| βGARCH | 0.7171 | 16.15*** |
| γleverage | -0.1662 | -2.29** |
0.838
Persistence4d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.2732 | 4.50*** |
α ARCH Response to squared shocks | 0.2045 | 3.23*** |
β GARCH Volatility persistence | 0.7171 | 16.15*** |
γ leverage Additional response to negative shocks | -0.1662 | -2.29** |
Persistence:
0.838
Half-life:
4 days
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