V-Lab
CBOE Brazil ETF Volatility Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, July 24th, 2026
1 Day
69.87%
1 Week
72.27%
1 Month
75.16%
Analysis last updated: Friday, July 24, 2026 at 11:21 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Apr 4, 2025Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 334% more than negative returns. Volatility rises more after gains than after losses, the reverse of the usual leverage effect and uncommon among risky assets.
MF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 21 | |
α ARCH Response to squared shocks | 0.2319 | 23.70*** |
β GARCH Volatility persistence | 0.6104 | 27.90*** |
γ leverage Additional response to negative shocks | -0.1785 | -13.45*** |
λ₁ tau intercept Baseline long-term coefficient | 0.8541 | 1.17 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0263 | 1.16 |
λ₃ tau persistence Long-term factor persistence | 0.9401 | 19.01*** |
Persistence:
0.753
Half-life:
2 days
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