This research delves into the intricate dynamics of Brazil’s conventional and Islamic stock indexes and their relationship with pivotal financial assets: Bitcoin, crude oil and gold. Spanning from 2011 to 2022, our analysis fills a notable void in the literature, given Brazil’s stature as a key player among the BRICS nations (ie, Brazil, Russia, India, China and South Africa) and the burgeoning interest in its financial markets, especially the underexplored Islamic stock index. The basis of the study is the significance of volatility modeling and prediction in finance, which is essential for risk management, portfolio diversification and informed investment decisions. Our analysis uses sophisticated methodologies to provide nuanced insights into asset correlations and their implications for portfolio diversification. Notably, Bitcoin, despite its inherent volatility, shows the lowest correlation with Brazil’s stock indexes, suggesting it is a potential candidate for diversification. However, the high-risk nature of Bitcoin in the period 2011–17 underscores gold’s attractiveness as a more stable diversification asset, especially for holding periods of less than 64 days. Our results also indicate that the Islamic index does not act as a safe haven (as predicted) or as a hedging instrument, challenging the prevailing notion that the Islamic index is independent of the conventional index. This suggests that Shariah screening may not shield the Islamic index from financial crises. Despite the conservative nature of Islamic stocks, these might not be a superior investment during economic challenges. Overall, the study highlights the potential for diversification among various assets, suggesting that investors can benefit from incorporating conventional and Islamic stock indexes, Bitcoin and gold into their portfolios.