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	1.5163	0.67
αARCH	0.1275	2.64***
βGARCH	0.9745	25.64***
νDF	5.6625	0.73

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5163	0.67
α ARCH Response to squared shocks	0.1275	2.64***
β GARCH Volatility persistence	0.9745	25.64***
ν DF Student-t tail thickness	5.6625	0.73

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