CBOE Brazil ETF 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	-0.0055	-0.30
αARCH	0.2180	2.88***
βGARCH	0.9381	22.00***
γleverage	0.0320	0.55

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0055	-0.30
α ARCH Response to squared shocks	0.2180	2.88***
β GARCH Volatility persistence	0.9381	22.00***
γ leverage Additional response to negative shocks	0.0320	0.55

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