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
mwindow	71
αARCH	0.0933	6.07***
βGARCH	0.8243	41.51***
γleverage	0.0281	1.52
λ₁tau intercept	0.0189	1.19
λ₂forecast adj.	0.0130	2.79***
λ₃tau persistence	0.9841	148.05***

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0933	6.07***
β GARCH Volatility persistence	0.8243	41.51***
γ leverage Additional response to negative shocks	0.0281	1.52
λ₁ tau intercept Baseline long-term coefficient	0.0189	1.19
λ₂ forecast adj. Forecast performance sensitivity	0.0130	2.79***
λ₃ tau persistence Long-term factor persistence	0.9841	148.05***

V-Lab

Banco do Brasil SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Banco do Brasil SA Analyses