CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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Param	Value	t-stat
mwindow	126
αARCH	0.3677	9.27***
βGARCH	0.7237	25.01***
γleverage	-0.1836	-2.15**
λ₁tau intercept	2.5495	4.69***
λ₂forecast adj.	0.0176	1.46
λ₃tau persistence	0.9787	72.63***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.3677	9.27***
β GARCH Volatility persistence	0.7237	25.01***
γ leverage Additional response to negative shocks	-0.1836	-2.15**
λ₁ tau intercept Baseline long-term coefficient	2.5495	4.69***
λ₂ forecast adj. Forecast performance sensitivity	0.0176	1.46
λ₃ tau persistence Long-term factor persistence	0.9787	72.63***

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