CBOE Brazil ETF Volatility Index

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Param	Value	t-stat
mwindow	56
αARCH	0.2604	5.57***
βGARCH	0.7043	10.80***
γleverage	-0.2163	-3.34***
λ₁tau intercept	0.3097	0.54
λ₂forecast adj.	0.3218	0.63
λ₃tau persistence	0.2987	0.25

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.2604	5.57***
β GARCH Volatility persistence	0.7043	10.80***
γ leverage Additional response to negative shocks	-0.2163	-3.34***
λ₁ tau intercept Baseline long-term coefficient	0.3097	0.54
λ₂ forecast adj. Forecast performance sensitivity	0.3218	0.63
λ₃ tau persistence Long-term factor persistence	0.2987	0.25

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Fundo De Investimento Imobiliario Caixa Agencias MF2-GARCH Volatility Analysis

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