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	5.0000	2.25**
αARCH	0.2334	2.04**
βGARCH	0.5838	8.52***
γleverage	0.0193	0.09

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	2.25**
α ARCH Response to squared shocks	0.2334	2.04**
β GARCH Volatility persistence	0.5838	8.52***
γ leverage Additional response to negative shocks	0.0193	0.09

V-Lab

FII Vida Nova GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FII Vida Nova Analyses