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	0.0166	2.28**
αARCH	0.0884	3.72***
βGARCH	0.9024	56.18***
γleverage	0.0144	0.39

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0166	2.28**
α ARCH Response to squared shocks	0.0884	3.72***
β GARCH Volatility persistence	0.9024	56.18***
γ leverage Additional response to negative shocks	0.0144	0.39

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Rio Bravo Multiestrategia Fundo de Investimento Imobiliario de Responsabilidade Asy. MEM Volatility Analysis

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