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	21
αARCH	0.0726	1.79*
βGARCH	0.7221	6.53***
γleverage	0.0784	1.32
λ₁tau intercept	0.3003	0.61
λ₂forecast adj.	0.1439	0.49
λ₃tau persistence	0.1026	0.07

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0726	1.79*
β GARCH Volatility persistence	0.7221	6.53***
γ leverage Additional response to negative shocks	0.0784	1.32
λ₁ tau intercept Baseline long-term coefficient	0.3003	0.61
λ₂ forecast adj. Forecast performance sensitivity	0.1439	0.49
λ₃ tau persistence Long-term factor persistence	0.1026	0.07

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Real Investor Fundo De Investimento Imobiliario MF2-GARCH Volatility Analysis

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