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	0.0218	2.03**
αARCH	0.1106	3.97***
βGARCH	0.8894	29.99***
γleverage	-0.1424	-0.89
δpower	1.5290	3.68***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0218	2.03**
α ARCH Response to squared shocks	0.1106	3.97***
β GARCH Volatility persistence	0.8894	29.99***
γ leverage Additional response to negative shocks	-0.1424	-0.89
δ power Transformation power	1.5290	3.68***

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Cyrela Credito FII APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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