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	20.9471	2.15**
αARCH	0.1113	14.40***
βGARCH	0.9988	1,432.95***
νDF	3.5239	8.37***

Parameter	Value	t-statistic
ω const Unconditional variance weight	20.9471	2.15**
α ARCH Response to squared shocks	0.1113	14.40***
β GARCH Volatility persistence	0.9988	1,432.95***
ν DF Student-t tail thickness	3.5239	8.37***

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Patria Credito Imobiliario Indice De Precos Fundo De Investimento Imobiliario Re GAS-GARCH Student T Volatility Analysis

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