CBOE Brazil ETF Volatility Index

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{name} Model Equation

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Param	Value	t-stat
ωconst	0.5558	6.03***
αARCH	0.2469	6.56***
βGARCH	0.6020	12.21***

γ₁	-0.0356	-0.12
γ₂	0.2734	0.60
γ₃	-1.1908	-3.23***
γ₄	2.5086	5.69***
γ₅	-2.6947	-4.32***
γ₆	1.5034	1.92*
γ₇	-0.7665	-1.19
γ₈	1.2801	2.59***
γ₉	-2.3117	-3.42***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5558	6.03***
α ARCH Response to squared shocks	0.2469	6.56***
β GARCH Volatility persistence	0.6020	12.21***

γ₁	-0.0356	-0.12
γ₂	0.2734	0.60
γ₃	-1.1908	-3.23***
γ₄	2.5086	5.69***
γ₅	-2.6947	-4.32***
γ₆	1.5034	1.92*
γ₇	-0.7665	-1.19
γ₈	1.2801	2.59***
γ₉	-2.3117	-3.42***

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XP Corporate Macae Fundo DE Spline-GARCH Volatility Analysis

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