CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

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	0.0702	2.97***
αARCH	0.1009	3.02***
βGARCH	0.8091	16.86***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0702	2.97***
α ARCH Response to squared shocks	0.1009	3.02***
β GARCH Volatility persistence	0.8091	16.86***

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Fundo De Investimento Imobiliario Caixa Agencias GARCH Volatility Analysis

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News Impact Curve

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Parameter Estimates

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