CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{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	0.0571	5.92***
αARCH	0.2010	15.79***
βGARCH	0.7878	61.72***
γleverage	0.1278	6.21***
δpower	1.6191	9.15***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0571	5.92***
α ARCH Response to squared shocks	0.2010	15.79***
β GARCH Volatility persistence	0.7878	61.72***
γ leverage Additional response to negative shocks	0.1278	6.21***
δ power Transformation power	1.6191	9.15***

V-Lab

Ibovespa Brasil Sao Paulo Stock Exchange Index Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ibovespa Brasil Sao Paulo Stock Exchange Index Analyses