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	0.9759	3.33***
αARCH	0.0722	5.75***
βGARCH	0.8886	42.91***

γ₁	-0.2819	-4.44***
γ₂	0.4224	3.20***
γ₃	-0.2052	-1.77*
γ₄	0.1085	1.57
γ₅	-0.1030	-2.09**
γ₆	0.1508	3.23***
γ₇	-0.1465	-3.11***
γ₈	0.0375	0.65
γ₉	0.0394	0.49
γ₁₀	-0.0186	-0.26

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9759	3.33***
α ARCH Response to squared shocks	0.0722	5.75***
β GARCH Volatility persistence	0.8886	42.91***

γ₁	-0.2819	-4.44***
γ₂	0.4224	3.20***
γ₃	-0.2052	-1.77*
γ₄	0.1085	1.57
γ₅	-0.1030	-2.09**
γ₆	0.1508	3.23***
γ₇	-0.1465	-3.11***
γ₈	0.0375	0.65
γ₉	0.0394	0.49
γ₁₀	-0.0186	-0.26

V-Lab

Banco do Brasil SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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