CBOE Brazil ETF Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.0258	2.61***
αARCH	0.1052	3.73***
βGARCH	0.8948	29.72***
γleverage	-0.0359	-0.16
δpower	1.4331	4.08***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0258	2.61***
α ARCH Response to squared shocks	0.1052	3.73***
β GARCH Volatility persistence	0.8948	29.72***
γ leverage Additional response to negative shocks	-0.0359	-0.16
δ power Transformation power	1.4331	4.08***

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