CBOE Brazil ETF Volatility Index

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{name} Model Equation

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Param	Value	t-stat
mwindow	31
αARCH	0.4001	5.31***
βGARCH	0.6791	10.04***
γleverage	-0.2548	-3.87***
λ₁tau intercept	0.8239	0.81
λ₂forecast adj.	0.4650	0.96
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.4001	5.31***
β GARCH Volatility persistence	0.6791	10.04***
γ leverage Additional response to negative shocks	-0.2548	-3.87***
λ₁ tau intercept Baseline long-term coefficient	0.8239	0.81
λ₂ forecast adj. Forecast performance sensitivity	0.4650	0.96
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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