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
ωconst	1.0000	0.94
αARCH	0.1653	3.06***
βGARCH	0.8142	15.65***
γleverage	0.1797	0.73
δpower	1.2781	2.15**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	0.94
α ARCH Response to squared shocks	0.1653	3.06***
β GARCH Volatility persistence	0.8142	15.65***
γ leverage Additional response to negative shocks	0.1797	0.73
δ power Transformation power	1.2781	2.15**

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SJ Au Logistica FII Asy. Power MEM Volatility Analysis

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