CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.4476	4.77***
αARCH	0.4614	3.40***
βGARCH	0.5866	10.80***
γleverage	-0.3175	-1.78*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4476	4.77***
α ARCH Response to squared shocks	0.4614	3.40***
β GARCH Volatility persistence	0.5866	10.80***
γ leverage Additional response to negative shocks	-0.3175	-1.78*

V-Lab

Navi Imobiliario Total Return FII GJR-GARCH Volatility Analysis

Date Range:

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