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	1.9110	2.21**
αARCH	0.0000	0.00
βGARCH	0.8414	4.72***

γ₁	41.3677	1.37
γ₂	-61.7637	-1.35
γ₃	64.3673	1.68*
γ₄	-53.0228	-1.32
γ₅	-28.6648	-0.69
γ₆	80.4741	2.63***
γ₇	-81.6427	-2.37**
γ₈	55.6731	1.27
γ₉	-11.6412	-0.30
γ₁₀	-41.1319	-1.23

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9110	2.21**
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8414	4.72***

γ₁	41.3677	1.37
γ₂	-61.7637	-1.35
γ₃	64.3673	1.68*
γ₄	-53.0228	-1.32
γ₅	-28.6648	-0.69
γ₆	80.4741	2.63***
γ₇	-81.6427	-2.37**
γ₈	55.6731	1.27
γ₉	-11.6412	-0.30
γ₁₀	-41.1319	-1.23

V-Lab

SJ Au Logistica FII Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SJ Au Logistica FII Analyses