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

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	0.3577	2.07**
αARCH	0.2027	3.85***
βGARCH	0.5261	4.62***
γleverage	0.1518	0.51

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3577	2.07**
α ARCH Response to squared shocks	0.2027	3.85***
β GARCH Volatility persistence	0.5261	4.62***
γ leverage Additional response to negative shocks	0.1518	0.51

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Hedge Recebiveis FII AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hedge Recebiveis FII Analyses