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	9.5616	1.65*
αARCH	0.1017	13.13***
βGARCH	0.9972	605.11***
νDF	3.3955	11.12***

Parameter	Value	t-statistic
ω const Unconditional variance weight	9.5616	1.65*
α ARCH Response to squared shocks	0.1017	13.13***
β GARCH Volatility persistence	0.9972	605.11***
ν DF Student-t tail thickness	3.3955	11.12***

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Patria Securities Fundo De Investimento Imobiliario Responsabilidade Limitada GAS-GARCH Student T Volatility Analysis

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News Impact Curve

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Parameter Estimates

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