CBOE Brazil ETF Volatility Index

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Param	Value	t-stat
mwindow	126
αARCH	0.2076	3.10***
βGARCH	0.5463	6.69***
γleverage	-0.0749	-0.76
λ₁tau intercept	0.0111	1.07
λ₂forecast adj.	0.0240	1.52
λ₃tau persistence	0.9653	37.47***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.2076	3.10***
β GARCH Volatility persistence	0.5463	6.69***
γ leverage Additional response to negative shocks	-0.0749	-0.76
λ₁ tau intercept Baseline long-term coefficient	0.0111	1.07
λ₂ forecast adj. Forecast performance sensitivity	0.0240	1.52
λ₃ tau persistence Long-term factor persistence	0.9653	37.47***

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