CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.2282	1.59
αARCH	0.1083	2.34**
βGARCH	0.8335	19.35***
γleverage	-0.0079	-0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2282	1.59
α ARCH Response to squared shocks	0.1083	2.34**
β GARCH Volatility persistence	0.8335	19.35***
γ leverage Additional response to negative shocks	-0.0079	-0.01

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