CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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
mwindow	91
αARCH	0.2181	3.07***
βGARCH	0.4655	4.03***
γleverage	-0.1567	-1.72*
λ₁tau intercept	1.4386	0.19
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.2181	3.07***
β GARCH Volatility persistence	0.4655	4.03***
γ leverage Additional response to negative shocks	-0.1567	-1.72*
λ₁ tau intercept Baseline long-term coefficient	1.4386	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Hedge Recebiveis FII MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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