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	4.5948	5.95***
αARCH	0.0842	7.88***
βGARCH	0.8823	71.31***

γ₁	0.0348	5.42***
γ₂	-0.0372	-4.25***
γ₃	0.0025	0.52
γ₄	0.0021	0.67

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.5948	5.95***
α ARCH Response to squared shocks	0.0842	7.88***
β GARCH Volatility persistence	0.8823	71.31***

γ₁	0.0348	5.42***
γ₂	-0.0372	-4.25***
γ₃	0.0025	0.52
γ₄	0.0021	0.67

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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