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

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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	8.7896	1.27
αARCH	0.0948	6.12***
βGARCH	0.9700	39.14***
νDF	3.6621	3.02***

Parameter	Value	t-statistic
ω const Unconditional variance weight	8.7896	1.27
α ARCH Response to squared shocks	0.0948	6.12***
β GARCH Volatility persistence	0.9700	39.14***
ν DF Student-t tail thickness	3.6621	3.02***

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Csu Digital Sa GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Csu Digital Sa Analyses