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	0.0842	1.88*
αARCH	0.4073	2.09**
βGARCH	0.7224	20.97***
γleverage	-0.2594	-1.04

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0842	1.88*
α ARCH Response to squared shocks	0.4073	2.09**
β GARCH Volatility persistence	0.7224	20.97***
γ leverage Additional response to negative shocks	-0.2594	-1.04

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Canuma Capital Multiestrateg GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Canuma Capital Multiestrateg Analyses