CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	1.9621	2.09**
αARCH	0.1074	3.11***
βGARCH	0.6468	4.92***

γ₁	22.3790	2.97***
γ₂	-37.6411	-4.07***
γ₃	22.4777	5.33***
γ₄	-11.4695	-2.16**
γ₅	14.2394	2.54**
γ₆	-22.9145	-4.56***
γ₇	21.2233	4.51***
γ₈	-13.0772	-2.44**
γ₉	14.9553	2.25**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9621	2.09**
α ARCH Response to squared shocks	0.1074	3.11***
β GARCH Volatility persistence	0.6468	4.92***

γ₁	22.3790	2.97***
γ₂	-37.6411	-4.07***
γ₃	22.4777	5.33***
γ₄	-11.4695	-2.16**
γ₅	14.2394	2.54**
γ₆	-22.9145	-4.56***
γ₇	21.2233	4.51***
γ₈	-13.0772	-2.44**
γ₉	14.9553	2.25**

V-Lab

Cyrela Credito FII Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Cyrela Credito FII Analyses