CBOE Brazil ETF Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.1001	3.08***
αARCH	0.2237	2.01**
βGARCH	0.7487	12.64***
γleverage	-0.1988	-1.45

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1001	3.08***
α ARCH Response to squared shocks	0.2237	2.01**
β GARCH Volatility persistence	0.7487	12.64***
γ leverage Additional response to negative shocks	-0.1988	-1.45

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Fundo De Investimento Imobiliario Caixa Agencias GJR-GARCH Volatility Analysis

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