CBOE Brazil ETF Volatility Index

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Param	Value	t-stat
mwindow	21
αARCH	0.2660	3.57***
βGARCH	0.2469	1.81*
γleverage	-0.1518	-1.86*
λ₁tau intercept	0.5653	0.43
λ₂forecast adj.	0.1551	0.41
λ₃tau persistence	0.3249	0.21

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2660	3.57***
β GARCH Volatility persistence	0.2469	1.81*
γ leverage Additional response to negative shocks	-0.1518	-1.86*
λ₁ tau intercept Baseline long-term coefficient	0.5653	0.43
λ₂ forecast adj. Forecast performance sensitivity	0.1551	0.41
λ₃ tau persistence Long-term factor persistence	0.3249	0.21

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Suno Fundo de Funods de Investimento Imobiliario MF2-GARCH Volatility Analysis

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