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	4.5843	6.03***
α ARCH Response to squared shocks	0.0828	7.90***
β GARCH Volatility persistence	0.8831	72.06***

γ₁	0.0366	5.69***
γ₂	-0.0412	-4.67***
γ₃	0.0093	1.69*
γ₄	-0.0159	-1.80*

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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