CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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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	2.1610	0.76
αARCH	0.2244	3.19***
βGARCH	0.8535	4.52***
νDF	2.1721	12.23***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.1610	0.76
α ARCH Response to squared shocks	0.2244	3.19***
β GARCH Volatility persistence	0.8535	4.52***
ν DF Student-t tail thickness	2.1721	12.23***

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Faria Lima Capital Recebiveis Imobiliarios I Fdo Inv Imob GAS-GARCH Student T Volatility Analysis

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