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	0.0350	2.02**
αARCH	0.0389	1.56
βGARCH	0.9311	162.27***
γleverage	0.1257	3.53***
δpower	3.0000	2.75***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0350	2.02**
α ARCH Response to squared shocks	0.0389	1.56
β GARCH Volatility persistence	0.9311	162.27***
γ leverage Additional response to negative shocks	0.1257	3.53***
δ power Transformation power	3.0000	2.75***

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Ibovespa Brasil Sao Paulo Stock Exchange Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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