CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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{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	0.0175	0.86
αARCH	0.2722	2.28**
βGARCH	0.6568	10.61***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0175	0.86
α ARCH Response to squared shocks	0.2722	2.28**
β GARCH Volatility persistence	0.6568	10.61***

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BTG Pactual Real Estate Hedge Fund FII - Responsabilidade Limitada MEM Volatility Analysis

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