CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	0.0000	1.86*
αARCH	0.2277	2.60***
βGARCH	0.7721	8.81***

γ₁	-497.6146	-6.04***
γ₂	658.9074	4.80***
γ₃	-222.5458	-2.69***
γ₄	77.8814	1.50
γ₅	-26.4469	-0.65
γ₆	8.3392	0.24
γ₇	1.3949	0.04
γ₈	16.0599	0.40
γ₉	-29.2801	-0.89
γ₁₀	15.9103	0.90

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0000	1.86*
α ARCH Response to squared shocks	0.2277	2.60***
β GARCH Volatility persistence	0.7721	8.81***

γ₁	-497.6146	-6.04***
γ₂	658.9074	4.80***
γ₃	-222.5458	-2.69***
γ₄	77.8814	1.50
γ₅	-26.4469	-0.65
γ₆	8.3392	0.24
γ₇	1.3949	0.04
γ₈	16.0599	0.40
γ₉	-29.2801	-0.89
γ₁₀	15.9103	0.90

V-Lab

Canuma Capital Multiestrateg Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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