CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	0.1750	1.34
αARCH	0.0935	2.30**
βGARCH	0.8648	19.58***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1750	1.34
α ARCH Response to squared shocks	0.0935	2.30**
β GARCH Volatility persistence	0.8648	19.58***

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

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