CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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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	4.6403	1.88*
αARCH	0.1145	10.97***
βGARCH	0.9953	384.29***
νDF	3.5678	8.48***

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.6403	1.88*
α ARCH Response to squared shocks	0.1145	10.97***
β GARCH Volatility persistence	0.9953	384.29***
ν DF Student-t tail thickness	3.5678	8.48***

V-Lab

Cyrela Credito FII GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cyrela Credito FII Analyses