CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0600	16.56***
β GARCH Volatility persistence	0.7991	94.20***
γ leverage Additional response to negative shocks	0.0900	13.79***
λ₁ tau intercept Baseline long-term coefficient	0.0054	2.15**
λ₂ forecast adj. Forecast performance sensitivity	0.0132	5.32***
λ₃ tau persistence Long-term factor persistence	0.9860	345.35***

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