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	0.0232	2.13**
αARCH	0.1155	2.03**
βGARCH	0.8794	30.54***
γleverage	-0.0280	-0.30

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0232	2.13**
α ARCH Response to squared shocks	0.1155	2.03**
β GARCH Volatility persistence	0.8794	30.54***
γ leverage Additional response to negative shocks	-0.0280	-0.30

V-Lab

Cyrela Credito FII GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cyrela Credito FII Analyses