CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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Param	Value	t-stat
mwindow	21
αARCH	0.2588	3.43***
βGARCH	0.2157	1.34
γleverage	-0.2578	-3.66***
λ₁tau intercept	0.0446	1.39
λ₂forecast adj.	0.0746	3.29***
λ₃tau persistence	0.9065	35.76***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2588	3.43***
β GARCH Volatility persistence	0.2157	1.34
γ leverage Additional response to negative shocks	-0.2578	-3.66***
λ₁ tau intercept Baseline long-term coefficient	0.0446	1.39
λ₂ forecast adj. Forecast performance sensitivity	0.0746	3.29***
λ₃ tau persistence Long-term factor persistence	0.9065	35.76***

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