CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0914	24.18***
β GARCH Volatility persistence	0.8256	174.96***
γ leverage Additional response to negative shocks	0.0299	6.16***
λ₁ tau intercept Baseline long-term coefficient	0.0181	3.87***
λ₂ forecast adj. Forecast performance sensitivity	0.0130	7.74***
λ₃ tau persistence Long-term factor persistence	0.9842	430.90***

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Banco do Brasil SA MF2-GARCH Volatility Analysis

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