CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	0.3422	2.21**
αARCH	0.2299	1.08
βGARCH	0.5580	7.68***
γleverage	-0.0941	-0.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3422	2.21**
α ARCH Response to squared shocks	0.2299	1.08
β GARCH Volatility persistence	0.5580	7.68***
γ leverage Additional response to negative shocks	-0.0941	-0.24

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Hedge Recebiveis FII GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hedge Recebiveis FII Analyses