CBOE Brazil ETF Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	1.7516	3.14***
αARCH	0.3375	4.62***
βGARCH	0.4134	3.55***

γ₁	6.0372	0.94
γ₂	-5.5731	-0.55
γ₃	-3.4523	-0.50
γ₄	6.5870	1.05
γ₅	-8.0121	-1.24
γ₆	8.4361	1.35
γ₇	-6.7475	-1.35
γ₈	8.9024	1.54
γ₉	-14.2917	-1.72*
γ₁₀	11.3138	1.66*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7516	3.14***
α ARCH Response to squared shocks	0.3375	4.62***
β GARCH Volatility persistence	0.4134	3.55***

γ₁	6.0372	0.94
γ₂	-5.5731	-0.55
γ₃	-3.4523	-0.50
γ₄	6.5870	1.05
γ₅	-8.0121	-1.24
γ₆	8.4361	1.35
γ₇	-6.7475	-1.35
γ₈	8.9024	1.54
γ₉	-14.2917	-1.72*
γ₁₀	11.3138	1.66*

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