CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	0.1780	4.19***
αARCH	0.2545	1.25
βGARCH	0.4040	3.98***
γleverage	0.0116	0.04

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1780	4.19***
α ARCH Response to squared shocks	0.2545	1.25
β GARCH Volatility persistence	0.4040	3.98***
γ leverage Additional response to negative shocks	0.0116	0.04

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