CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	2.5809	5.22***
αARCH	0.2009	3.32***
βGARCH	0.3333	3.09***

γ₁	2.4234	1.67*
γ₂	-1.6129	-0.76
γ₃	-2.2015	-1.32
γ₄	4.0579	1.73*
γ₅	-6.8351	-2.10**
γ₆	11.2626	3.60***
γ₇	-14.7942	-6.46***
γ₈	12.7190	6.37***
γ₉	-6.7251	-4.39***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.5809	5.22***
α ARCH Response to squared shocks	0.2009	3.32***
β GARCH Volatility persistence	0.3333	3.09***

γ₁	2.4234	1.67*
γ₂	-1.6129	-0.76
γ₃	-2.2015	-1.32
γ₄	4.0579	1.73*
γ₅	-6.8351	-2.10**
γ₆	11.2626	3.60***
γ₇	-14.7942	-6.46***
γ₈	12.7190	6.37***
γ₉	-6.7251	-4.39***

V-Lab

Rio Bravo Credito Imobiliario High Grade FII Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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