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	0.1385	2.11**
αARCH	0.1899	7.87***
βGARCH	0.7984	28.85***
γleverage	-0.0519	-0.70
δpower	1.9867	5.39***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1385	2.11**
α ARCH Response to squared shocks	0.1899	7.87***
β GARCH Volatility persistence	0.7984	28.85***
γ leverage Additional response to negative shocks	-0.0519	-0.70
δ power Transformation power	1.9867	5.39***

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