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	1.7311	4.58***
αARCH	0.1384	3.94***
βGARCH	0.6076	6.25***

γ₁	1.3904	0.52
γ₂	2.9010	0.72
γ₃	-10.8749	-4.30***
γ₄	11.2235	3.81***
γ₅	-4.8073	-1.33
γ₆	-3.0122	-0.78
γ₇	7.3896	2.55**
γ₈	-9.2298	-4.31***
γ₉	9.5671	3.65***
γ₁₀	-6.0839	-2.75***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7311	4.58***
α ARCH Response to squared shocks	0.1384	3.94***
β GARCH Volatility persistence	0.6076	6.25***

γ₁	1.3904	0.52
γ₂	2.9010	0.72
γ₃	-10.8749	-4.30***
γ₄	11.2235	3.81***
γ₅	-4.8073	-1.33
γ₆	-3.0122	-0.78
γ₇	7.3896	2.55**
γ₈	-9.2298	-4.31***
γ₉	9.5671	3.65***
γ₁₀	-6.0839	-2.75***

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