CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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{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
mwindow	21
αARCH	0.2414	2.21**
βGARCH	0.4272	4.11***
γleverage	-0.1413	-1.22
λ₁tau intercept	0.7695	3.55***
λ₂forecast adj.	0.7138	5.40***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2414	2.21**
β GARCH Volatility persistence	0.4272	4.11***
γ leverage Additional response to negative shocks	-0.1413	-1.22
λ₁ tau intercept Baseline long-term coefficient	0.7695	3.55***
λ₂ forecast adj. Forecast performance sensitivity	0.7138	5.40***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Rio Bravo Multiestrategia Fundo de Investimento Imobiliario de Responsabilidade MF2-GARCH Volatility Analysis

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