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

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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	4.7631	3.86***
αARCH	0.2963	5.28***
βGARCH	0.3682	5.23***

γ₁	7.0263	2.88***
γ₂	-9.4499	-2.49**
γ₃	4.0350	1.90*
γ₄	-3.2916	-1.09
γ₅	3.1454	0.89
γ₆	-2.5705	-1.01
γ₇	2.9975	1.98**
γ₈	-3.8787	-3.48***
γ₉	2.6589	3.07***

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.7631	3.86***
α ARCH Response to squared shocks	0.2963	5.28***
β GARCH Volatility persistence	0.3682	5.23***

γ₁	7.0263	2.88***
γ₂	-9.4499	-2.49**
γ₃	4.0350	1.90*
γ₄	-3.2916	-1.09
γ₅	3.1454	0.89
γ₆	-2.5705	-1.01
γ₇	2.9975	1.98**
γ₈	-3.8787	-3.48***
γ₉	2.6589	3.07***

V-Lab

FII Vida Nova Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FII Vida Nova Analyses