CBOE Brazil ETF Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.1190	4.68***
αARCH	0.2213	6.76***
βGARCH	0.7787	25.71***
γleverage	-0.1361	-1.12
δpower	1.7179	5.22***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1190	4.68***
α ARCH Response to squared shocks	0.2213	6.76***
β GARCH Volatility persistence	0.7787	25.71***
γ leverage Additional response to negative shocks	-0.1361	-1.12
δ power Transformation power	1.7179	5.22***

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