CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	0.0607	2.72***
αARCH	0.1293	3.86***
βGARCH	0.8707	28.80***
γleverage	-0.0741	-0.61
δpower	1.5870	7.04***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0607	2.72***
α ARCH Response to squared shocks	0.1293	3.86***
β GARCH Volatility persistence	0.8707	28.80***
γ leverage Additional response to negative shocks	-0.0741	-0.61
δ power Transformation power	1.5870	7.04***

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