CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	3.0953	16.61***
α ARCH Response to squared shocks	0.1954	14.07***
β GARCH Volatility persistence	0.7633	82.36***
γ leverage Additional response to negative shocks	-0.1518	-9.33***

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CBOE Brazil ETF Volatility Index GJR-GARCH Volatility Analysis

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