CBOE Brazil ETF Volatility Index

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Param	Value	t-stat
mwindow	41
αARCH	0.0957	2.02**
βGARCH	0.0926	1.20
γleverage	0.2202	2.52**
λ₁tau intercept	0.8468	0.78
λ₂forecast adj.	0.3567	1.81*
λ₃tau persistence	0.2100	0.31

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0957	2.02**
β GARCH Volatility persistence	0.0926	1.20
γ leverage Additional response to negative shocks	0.2202	2.52**
λ₁ tau intercept Baseline long-term coefficient	0.8468	0.78
λ₂ forecast adj. Forecast performance sensitivity	0.3567	1.81*
λ₃ tau persistence Long-term factor persistence	0.2100	0.31

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