CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1,234.7612	2.10**
αARCH	0.1646	32.45***
βGARCH	0.9972	786.43***
νDF	2.0248	979.60***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1,234.7612	2.10**
α ARCH Response to squared shocks	0.1646	32.45***
β GARCH Volatility persistence	0.9972	786.43***
ν DF Student-t tail thickness	2.0248	979.60***

V-Lab

FII Grand Plaza Shopping GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FII Grand Plaza Shopping Analyses