CBOE Brazil ETF Volatility Index

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{name} Model Equation

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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	0.1328	3.63***
αARCH	0.1911	2.86***
βGARCH	0.7492	19.07***
γleverage	-0.0434	-0.36

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1328	3.63***
α ARCH Response to squared shocks	0.1911	2.86***
β GARCH Volatility persistence	0.7492	19.07***
γ leverage Additional response to negative shocks	-0.0434	-0.36

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Patria Securities Fundo De Investimento Imobiliario Responsabilidade Limitada GJR-GARCH Volatility Analysis

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