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	0.6733	2.23**
αARCH	0.2258	3.22***
βGARCH	0.1286	0.81

γ₁	0.1192	0.03
γ₂	0.3117	0.05
γ₃	3.0301	0.57
γ₄	-11.2723	-2.12**
γ₅	15.3273	5.01***
γ₆	-13.4552	-5.70***
γ₇	10.7335	3.44***
γ₈	-11.6485	-3.26***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6733	2.23**
α ARCH Response to squared shocks	0.2258	3.22***
β GARCH Volatility persistence	0.1286	0.81

γ₁	0.1192	0.03
γ₂	0.3117	0.05
γ₃	3.0301	0.57
γ₄	-11.2723	-2.12**
γ₅	15.3273	5.01***
γ₆	-13.4552	-5.70***
γ₇	10.7335	3.44***
γ₈	-11.6485	-3.26***

V-Lab

Hedge Recebiveis FII Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hedge Recebiveis FII Analyses