CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{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	0.9491	6.81***
αARCH	0.0606	2.35**
βGARCH	0.7935	7.90***

γ₁	-0.4668	-1.82*
γ₂	1.1642	2.69***
γ₃	-1.9684	-4.15***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9491	6.81***
α ARCH Response to squared shocks	0.0606	2.35**
β GARCH Volatility persistence	0.7935	7.90***

γ₁	-0.4668	-1.82*
γ₂	1.1642	2.69***
γ₃	-1.9684	-4.15***

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Plural Logistica Fii Classe Un Spline-GARCH Volatility Analysis

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