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
ωconst	0.6706	2.20**
αARCH	0.2334	3.27***
βGARCH	0.1359	0.88

γ₁	0.0433	0.01
γ₂	0.4493	0.07
γ₃	2.8529	0.54
γ₄	-10.9362	-2.04**
γ₅	14.7016	4.75***
γ₆	-12.2017	-5.25***
γ₇	7.8465	2.86***
γ₈	-3.4555	-2.05**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6706	2.20**
α ARCH Response to squared shocks	0.2334	3.27***
β GARCH Volatility persistence	0.1359	0.88

γ₁	0.0433	0.01
γ₂	0.4493	0.07
γ₃	2.8529	0.54
γ₄	-10.9362	-2.04**
γ₅	14.7016	4.75***
γ₆	-12.2017	-5.25***
γ₇	7.8465	2.86***
γ₈	-3.4555	-2.05**

V-Lab

Hedge Recebiveis FII Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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