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	0.0303	1.74*
αARCH	0.1644	6.36***
βGARCH	0.8083	36.01***
γleverage	-0.2775	-1.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0303	1.74*
α ARCH Response to squared shocks	0.1644	6.36***
β GARCH Volatility persistence	0.8083	36.01***
γ leverage Additional response to negative shocks	-0.2775	-1.46

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Cyrela Credito FII AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cyrela Credito FII Analyses