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	-0.0168	-0.50
αARCH	0.2109	2.85***
βGARCH	0.8920	20.37***
γleverage	0.1376	1.87*

Parameter	Value	t-statistic
ω const Unconditional variance weight	-0.0168	-0.50
α ARCH Response to squared shocks	0.2109	2.85***
β GARCH Volatility persistence	0.8920	20.37***
γ leverage Additional response to negative shocks	0.1376	1.87*

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