CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	0.0860	1.57
αARCH	0.1558	3.05***
βGARCH	0.7893	10.38***
γleverage	-0.2625	-1.23
δpower	0.5801	2.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0860	1.57
α ARCH Response to squared shocks	0.1558	3.05***
β GARCH Volatility persistence	0.7893	10.38***
γ leverage Additional response to negative shocks	-0.2625	-1.23
δ power Transformation power	0.5801	2.63***

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