CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0000	0.01
β GARCH Volatility persistence	0.8000	185.61***
γ leverage Additional response to negative shocks	0.1603	45.52***
λ₁ tau intercept Baseline long-term coefficient	0.0893	3.26***
λ₂ forecast adj. Forecast performance sensitivity	0.2336	24.48***
λ₃ tau persistence Long-term factor persistence	0.7421	46.86***

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Ibovespa Brasil Sao Paulo Stock Exchange Index MF2-GARCH Volatility Analysis

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News Impact Curve

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