CBOE Brazil ETF 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	2.0089	4.58***
αARCH	0.1873	3.23***
βGARCH	0.3974	2.37**

γ₁	4.3806	3.11***
γ₂	-7.1152	-2.96***
γ₃	5.4860	2.99***
γ₄	-5.0665	-3.49***
γ₅	5.0564	3.24***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0089	4.58***
α ARCH Response to squared shocks	0.1873	3.23***
β GARCH Volatility persistence	0.3974	2.37**

γ₁	4.3806	3.11***
γ₂	-7.1152	-2.96***
γ₃	5.4860	2.99***
γ₄	-5.0665	-3.49***
γ₅	5.0564	3.24***

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Fundo De Investimento Imobiliario Caixa Agencias Spline-GARCH Volatility Analysis

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