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	4.5934	5.91***
αARCH	0.0821	8.01***
βGARCH	0.8857	75.48***

γ₁	0.0348	5.36***
γ₂	-0.0370	-4.18***
γ₃	0.0019	0.39
γ₄	0.0028	0.92

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.5934	5.91***
α ARCH Response to squared shocks	0.0821	8.01***
β GARCH Volatility persistence	0.8857	75.48***

γ₁	0.0348	5.36***
γ₂	-0.0370	-4.18***
γ₃	0.0019	0.39
γ₄	0.0028	0.92

V-Lab

Ibovespa Brasil Sao Paulo Stock Exchange Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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