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	0.0239	2.69***
αARCH	0.1109	3.16***
βGARCH	0.8868	38.39***
γleverage	-0.0282	-0.50

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0239	2.69***
α ARCH Response to squared shocks	0.1109	3.16***
β GARCH Volatility persistence	0.8868	38.39***
γ leverage Additional response to negative shocks	-0.0282	-0.50

V-Lab

Rio Bravo Credito Imobiliario High Grade FII GJR-GARCH Volatility Analysis

Date Range:

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