CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1601	4.30***
α ARCH Response to squared shocks	0.0568	10.88***
β GARCH Volatility persistence	0.9285	129.41***
γ leverage Additional response to negative shocks	-0.0111	-0.78

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Banco do Brasil SA GJR-GARCH Volatility Analysis

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