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	239.0049	2.44**
αARCH	0.0891	17.83***
βGARCH	0.9941	384.55***
νDF	2.0020

Parameter	Value	t-statistic
ω const Unconditional variance weight	239.0049	2.44**
α ARCH Response to squared shocks	0.0891	17.83***
β GARCH Volatility persistence	0.9941	384.55***
ν DF Student-t tail thickness	2.0020

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HGI Creditos Imobiliarios FII GAS-GARCH Student T Volatility Analysis

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