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
mwindow	21
αARCH	0.4618	3.39***
βGARCH	0.0000	0.00
γleverage	-0.2567	-1.85*
λ₁tau intercept	0.1262	1.66*
λ₂forecast adj.	0.4041	1.31
λ₃tau persistence	0.3734	1.01

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.4618	3.39***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.2567	-1.85*
λ₁ tau intercept Baseline long-term coefficient	0.1262	1.66*
λ₂ forecast adj. Forecast performance sensitivity	0.4041	1.31
λ₃ tau persistence Long-term factor persistence	0.3734	1.01

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