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	0.0217	3.15***
αARCH	0.1796	7.19***
βGARCH	0.7867	26.88***
γleverage	0.0721	0.76
δpower	2.3992	4.10***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0217	3.15***
α ARCH Response to squared shocks	0.1796	7.19***
β GARCH Volatility persistence	0.7867	26.88***
γ leverage Additional response to negative shocks	0.0721	0.76
δ power Transformation power	2.3992	4.10***

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