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	1.8807	2.24**
αARCH	0.2149	4.11***
βGARCH	0.5071	4.90***

γ₁	4.8225	1.98**
γ₂	-4.7679	-1.40
γ₃	-0.9059	-0.38
γ₄	2.7705	0.96
γ₅	-5.0520	-1.66*
γ₆	5.5750	2.18**
γ₇	-3.3606	-2.28**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8807	2.24**
α ARCH Response to squared shocks	0.2149	4.11***
β GARCH Volatility persistence	0.5071	4.90***

γ₁	4.8225	1.98**
γ₂	-4.7679	-1.40
γ₃	-0.9059	-0.38
γ₄	2.7705	0.96
γ₅	-5.0520	-1.66*
γ₆	5.5750	2.18**
γ₇	-3.3606	-2.28**

V-Lab

Fii Mogno Hoteis Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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