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	0.0465	1.46
αARCH	0.1173	6.44***
βGARCH	0.8826	33.31***
γleverage	-0.1802	-1.17
δpower	1.5964	3.11***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0465	1.46
α ARCH Response to squared shocks	0.1173	6.44***
β GARCH Volatility persistence	0.8826	33.31***
γ leverage Additional response to negative shocks	-0.1802	-1.17
δ power Transformation power	1.5964	3.11***

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RB Capital Desenvolvimento Residencial IV FII Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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