CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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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	4.0350	2.23**
αARCH	0.1824	4.47***
βGARCH	0.6871	11.52***

γ₁	2.7209	3.32***
γ₂	-3.8715	-3.77***
γ₃	2.8164	6.57***
γ₄	-3.5553	-5.76***
γ₅	2.9015	3.55***
γ₆	-0.4049	-0.55
γ₇	-2.2424	-3.18***
γ₈	3.3933	1.97**

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.0350	2.23**
α ARCH Response to squared shocks	0.1824	4.47***
β GARCH Volatility persistence	0.6871	11.52***

γ₁	2.7209	3.32***
γ₂	-3.8715	-3.77***
γ₃	2.8164	6.57***
γ₄	-3.5553	-5.76***
γ₅	2.9015	3.55***
γ₆	-0.4049	-0.55
γ₇	-2.2424	-3.18***
γ₈	3.3933	1.97**

V-Lab

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

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