CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	232.4638	1.63
αARCH	0.1370	14.50***
βGARCH	0.9846	101.22***
νDF	2.0029	7,418.33***

Parameter	Value	t-statistic
ω const Unconditional variance weight	232.4638	1.63
α ARCH Response to squared shocks	0.1370	14.50***
β GARCH Volatility persistence	0.9846	101.22***
ν DF Student-t tail thickness	2.0029	7,418.33***

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Canuma Capital Multiestrateg GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Canuma Capital Multiestrateg Analyses