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	4.5750	6.03***
αARCH	0.0823	7.91***
βGARCH	0.8838	72.79***

γ₁	0.0361	5.66***
γ₂	-0.0405	-4.64***
γ₃	0.0088	1.62
γ₄	-0.0150	-1.70*

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.5750	6.03***
α ARCH Response to squared shocks	0.0823	7.91***
β GARCH Volatility persistence	0.8838	72.79***

γ₁	0.0361	5.66***
γ₂	-0.0405	-4.64***
γ₃	0.0088	1.62
γ₄	-0.0150	-1.70*

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ibovespa Brasil Sao Paulo Stock Exchange Index Analyses