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
ωlong-run	28.8397	0.41
αscore	0.0877	15.80***
βpersistence	0.9990	398.48***
νDF	9.9998	1.59

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	28.8397	0.41
α score Weight on the scaled score	0.0877	15.80***
β persistence Volatility persistence	0.9990	398.48***
ν DF Student-t tail thickness	9.9998	1.59

V-Lab

Ibovespa Brasil Sao Paulo Stock Exchange Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ibovespa Brasil Sao Paulo Stock Exchange Index Analyses