CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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Param	Value	t-stat
mwindow	81
αARCH	0.0947	2.45**
βGARCH	0.8974	26.63***
γleverage	-0.0947	-2.47**
λ₁tau intercept	0.7714	1.21
λ₂forecast adj.	0.5741	2.70***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	81
α ARCH Response to squared shocks	0.0947	2.45**
β GARCH Volatility persistence	0.8974	26.63***
γ leverage Additional response to negative shocks	-0.0947	-2.47**
λ₁ tau intercept Baseline long-term coefficient	0.7714	1.21
λ₂ forecast adj. Forecast performance sensitivity	0.5741	2.70***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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RB Capital Desenvolvimento Residencial IV FII MF2-GARCH Volatility Analysis

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