CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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
mwindow	56
αARCH	0.1145	4.74***
βGARCH	0.6174	12.66***
γleverage	0.0327	1.10
λ₁tau intercept	0.8659	1.20
λ₂forecast adj.	0.2968	1.25
λ₃tau persistence	0.5780	1.73*

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.1145	4.74***
β GARCH Volatility persistence	0.6174	12.66***
γ leverage Additional response to negative shocks	0.0327	1.10
λ₁ tau intercept Baseline long-term coefficient	0.8659	1.20
λ₂ forecast adj. Forecast performance sensitivity	0.2968	1.25
λ₃ tau persistence Long-term factor persistence	0.5780	1.73*

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Csu Digital Sa MF2-GARCH Volatility Analysis

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