V-Lab
CBOE Brazil ETF Volatility Index MF2-GARCH Volatility Analysis
Volatility prediction for Friday, September 4th, 2026
1 Day
79.52%
1 Week
80.37%
1 Month
81.28%
Analysis last updated: Friday, September 4, 2026 at 11:28 PM UTC
News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Mar 16, 2011 to Aug 27, 2026Model Insight
This asset shows a rare inverse leverage effect: positive returns raise next-day volatility 331% 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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| Param | Value | t-stat |
|---|---|---|
| mwindow | 31 | |
| αARCH | 0.2401 | 4.57*** |
| βGARCH | 0.6211 | 9.71*** |
| γleverage | -0.1843 | -4.43*** |
| λ₁tau intercept | 0.2754 | 0.76 |
| λ₂forecast adj. | 0.0067 | 1.24 |
| λ₃tau persistence | 0.9825 | 53.04*** |
0.769
Persistence3d
Half-lifeMF2-GARCH Model
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| Parameter | Value | t-statistic |
|---|---|---|
m window Rolling window length | 31 | |
α ARCH Response to squared shocks | 0.2401 | 4.57*** |
β GARCH Volatility persistence | 0.6211 | 9.71*** |
γ leverage Additional response to negative shocks | -0.1843 | -4.43*** |
λ₁ tau intercept Baseline long-term coefficient | 0.2754 | 0.76 |
λ₂ forecast adj. Forecast performance sensitivity | 0.0067 | 1.24 |
λ₃ tau persistence Long-term factor persistence | 0.9825 | 53.04*** |
Persistence:
0.769
Half-life:
3 days
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