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
mwindow	96
αARCH	0.3285	4.10***
βGARCH	0.4065	5.57***
γleverage	-0.0557	-0.51
λ₁tau intercept	10.0000	0.26
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.6311	0.49

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.3285	4.10***
β GARCH Volatility persistence	0.4065	5.57***
γ leverage Additional response to negative shocks	-0.0557	-0.51
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.26
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.6311	0.49

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FII Vida Nova MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FII Vida Nova Analyses