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	0.0171	2.37**
αARCH	0.0929	5.57***
βGARCH	0.9018	59.64***
γleverage	0.0396	0.69
δpower	2.1261	8.46***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0171	2.37**
α ARCH Response to squared shocks	0.0929	5.57***
β GARCH Volatility persistence	0.9018	59.64***
γ leverage Additional response to negative shocks	0.0396	0.69
δ power Transformation power	2.1261	8.46***

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