CBOE Brazil ETF Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0167	2.72***
αARCH	0.3364	3.49***
βGARCH	0.6538	10.33***
γleverage	-0.1094	-0.87

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0167	2.72***
α ARCH Response to squared shocks	0.3364	3.49***
β GARCH Volatility persistence	0.6538	10.33***
γ leverage Additional response to negative shocks	-0.1094	-0.87

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Date Range:

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