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

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	2.4849	3.38***
αARCH	0.2111	4.23***
βGARCH	0.4959	5.73***

γ₁	3.5877	5.23***
γ₂	-3.8343	-3.92***
γ₃	-0.5345	-0.68
γ₄	1.1018	1.37
γ₅	-0.3169	-0.51

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.4849	3.38***
α ARCH Response to squared shocks	0.2111	4.23***
β GARCH Volatility persistence	0.4959	5.73***

γ₁	3.5877	5.23***
γ₂	-3.8343	-3.92***
γ₃	-0.5345	-0.68
γ₄	1.1018	1.37
γ₅	-0.3169	-0.51

V-Lab

Hedge Logistica Fundo de Investimento Imobiliario Zero Slope Spline-GARCH Volatility Analysis

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