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	1.0000	0.47
αARCH	0.1804	3.84***
βGARCH	0.7126	6.20***
γleverage	-0.0641	-0.27
δpower	1.1071	1.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	0.47
α ARCH Response to squared shocks	0.1804	3.84***
β GARCH Volatility persistence	0.7126	6.20***
γ leverage Additional response to negative shocks	-0.0641	-0.27
δ power Transformation power	1.1071	1.13

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FII Vida Nova APARCH Volatility Analysis

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