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	4.8718	3.90***
αARCH	0.2926	5.27***
βGARCH	0.3717	5.26***

γ₁	7.1802	2.96***
γ₂	-9.6862	-2.57**
γ₃	4.1810	1.98**
γ₄	-3.4013	-1.13
γ₅	3.2360	0.92
γ₆	-2.6835	-1.06
γ₇	3.1890	2.07**
γ₈	-4.2729	-3.14***
γ₉	3.7324	2.00**

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.8718	3.90***
α ARCH Response to squared shocks	0.2926	5.27***
β GARCH Volatility persistence	0.3717	5.26***

γ₁	7.1802	2.96***
γ₂	-9.6862	-2.57**
γ₃	4.1810	1.98**
γ₄	-3.4013	-1.13
γ₅	3.2360	0.92
γ₆	-2.6835	-1.06
γ₇	3.1890	2.07**
γ₈	-4.2729	-3.14***
γ₉	3.7324	2.00**

V-Lab

FII Vida Nova Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FII Vida Nova Analyses