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
ωconst	0.3831	2.91***
αARCH	0.3272	2.36**
βGARCH	0.5569	6.21***
γleverage	-0.0949	-0.42

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3831	2.91***
α ARCH Response to squared shocks	0.3272	2.36**
β GARCH Volatility persistence	0.5569	6.21***
γ leverage Additional response to negative shocks	-0.0949	-0.42

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Fundo De Investimento Imobiliario Caixa Agencias Asy. MEM Volatility Analysis

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News Impact Curve

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