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	0.0946	3.04***
αARCH	0.1044	1.92*
βGARCH	0.7715	12.32***
γleverage	-0.5508	-1.41
δpower	1.7542	2.96***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0946	3.04***
α ARCH Response to squared shocks	0.1044	1.92*
β GARCH Volatility persistence	0.7715	12.32***
γ leverage Additional response to negative shocks	-0.5508	-1.41
δ power Transformation power	1.7542	2.96***

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