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	0.0078	0.95
αARCH	0.0772	0.82
βGARCH	1.0000	360.36***
γleverage	-0.0029	-0.04

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0078	0.95
α ARCH Response to squared shocks	0.0772	0.82
β GARCH Volatility persistence	1.0000	360.36***
γ leverage Additional response to negative shocks	-0.0029	-0.04

V-Lab

Ibovespa Brasil Sao Paulo Stock Exchange Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ibovespa Brasil Sao Paulo Stock Exchange Index Analyses