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	1.1405	4.45***
αARCH	0.1136	6.55***
βGARCH	0.7847	27.77***

γ₁	-0.0597	-0.84
γ₂	0.1541	1.56
γ₃	-0.1710	-3.10***
γ₄	0.1252	2.27**
γ₅	-0.1098	-2.24**
γ₆	0.1010	3.24***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1405	4.45***
α ARCH Response to squared shocks	0.1136	6.55***
β GARCH Volatility persistence	0.7847	27.77***

γ₁	-0.0597	-0.84
γ₂	0.1541	1.56
γ₃	-0.1710	-3.10***
γ₄	0.1252	2.27**
γ₅	-0.1098	-2.24**
γ₆	0.1010	3.24***

V-Lab

Csu Digital Sa Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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