CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	0.0268	0.57
αARCH	0.0812	1.36
βGARCH	0.9870	60.10***
γleverage	0.0516	0.98

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0268	0.57
α ARCH Response to squared shocks	0.0812	1.36
β GARCH Volatility persistence	0.9870	60.10***
γ leverage Additional response to negative shocks	0.0516	0.98

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Caixa Rio Bravo Fundo de Fundos de Investimento Imobiliario EGARCH Volatility Analysis

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