CBOE Brazil ETF Volatility Index GJR-GARCH Volatility Analysis
Volatility prediction for Friday, October 2nd, 2026
1 Day
68.10%
increased by 0.17%
1 Week
71.90%
increased by 3.97%
1 Month
77.59%
increased by 9.66%
Analysis last updated: Friday, October 2, 2026 at 09:42 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 Sep 24, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 352% 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 352% more than negative returns
| Param | Value | t-stat |
|---|---|---|
| ωconst | 4.1838 | 4.57*** |
| αARCH | 0.2062 | 3.67*** |
| βGARCH | 0.7140 | 16.27*** |
| γleverage | -0.1606 | -2.26** |
0.840
Persistence4d
Half-lifeσ
GJR-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 4.1838 | 4.57*** |
α ARCH Response to squared shocks | 0.2062 | 3.67*** |
β GARCH Volatility persistence | 0.7140 | 16.27*** |
γ leverage Additional response to negative shocks | -0.1606 | -2.26** |
Persistence:
0.840
Half-life:
4 days
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