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	0.9802	3.34***
αARCH	0.0715	5.73***
βGARCH	0.8896	43.12***

γ₁	-0.2787	-4.44***
γ₂	0.4179	3.20***
γ₃	-0.2035	-1.77*
γ₄	0.1081	1.57
γ₅	-0.1031	-2.09**
γ₆	0.1522	3.27***
γ₇	-0.1502	-3.22***
γ₈	0.0414	0.74
γ₉	0.0392	0.50
γ₁₀	-0.0209	-0.30

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9802	3.34***
α ARCH Response to squared shocks	0.0715	5.73***
β GARCH Volatility persistence	0.8896	43.12***

γ₁	-0.2787	-4.44***
γ₂	0.4179	3.20***
γ₃	-0.2035	-1.77*
γ₄	0.1081	1.57
γ₅	-0.1031	-2.09**
γ₆	0.1522	3.27***
γ₇	-0.1502	-3.22***
γ₈	0.0414	0.74
γ₉	0.0392	0.50
γ₁₀	-0.0209	-0.30

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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