CBOE Brazil ETF Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0897	1.53
αARCH	0.2159	3.40***
βGARCH	0.7021	6.74***

γ₁	-1.8010	-0.24
γ₂	-4.1169	-0.40
γ₃	13.8825	2.10**
γ₄	-24.1353	-3.24***
γ₅	36.4883	5.96***
γ₆	-32.1760	-7.13***
γ₇	11.2180	1.90*
γ₈	4.3350	0.69
γ₉	-5.0828	-1.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0897	1.53
α ARCH Response to squared shocks	0.2159	3.40***
β GARCH Volatility persistence	0.7021	6.74***

γ₁	-1.8010	-0.24
γ₂	-4.1169	-0.40
γ₃	13.8825	2.10**
γ₄	-24.1353	-3.24***
γ₅	36.4883	5.96***
γ₆	-32.1760	-7.13***
γ₇	11.2180	1.90*
γ₈	4.3350	0.69
γ₉	-5.0828	-1.16

V-Lab

HGI Creditos Imobiliarios FII Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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