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
mwindow	126
αARCH	0.0591	1.30
βGARCH	0.8341	16.30***
γleverage	0.0989	1.42
λ₁tau intercept	0.0175	0.38
λ₂forecast adj.	0.0079	1.07
λ₃tau persistence	0.9921	93.39***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0591	1.30
β GARCH Volatility persistence	0.8341	16.30***
γ leverage Additional response to negative shocks	0.0989	1.42
λ₁ tau intercept Baseline long-term coefficient	0.0175	0.38
λ₂ forecast adj. Forecast performance sensitivity	0.0079	1.07
λ₃ tau persistence Long-term factor persistence	0.9921	93.39***

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Fii Mogno Hoteis MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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