CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{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	6.2976	1.81*
αARCH	0.0927	11.66***
βGARCH	0.9956	454.01***
νDF	2.5354	24.59***

Parameter	Value	t-statistic
ω const Unconditional variance weight	6.2976	1.81*
α ARCH Response to squared shocks	0.0927	11.66***
β GARCH Volatility persistence	0.9956	454.01***
ν DF Student-t tail thickness	2.5354	24.59***

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Fundo De Investimento Imobiliario Caixa Agencias GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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