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	70.0567	1.84*
αARCH	0.0981	18.91***
βGARCH	0.9990	2,018.18***
νDF	2.9503	18.54***

Parameter	Value	t-statistic
ω const Unconditional variance weight	70.0567	1.84*
α ARCH Response to squared shocks	0.0981	18.91***
β GARCH Volatility persistence	0.9990	2,018.18***
ν DF Student-t tail thickness	2.9503	18.54***

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Caixa Rio Bravo Fundo de Fundos de Investimento Imobiliario GAS-GARCH Student T Volatility Analysis

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