CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0100	3.80***
α ARCH Response to squared shocks	0.0649	27.57***
β GARCH Volatility persistence	0.9325	370.03***
γ leverage Additional response to negative shocks	0.4681	14.79***

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Ibovespa Brasil Sao Paulo Stock Exchange Index AGARCH Volatility Analysis

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