CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.0562	1.59
αARCH	0.1001	2.16**
βGARCH	0.9150	30.98***
γleverage	-0.0845	-1.74*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0562	1.59
α ARCH Response to squared shocks	0.1001	2.16**
β GARCH Volatility persistence	0.9150	30.98***
γ leverage Additional response to negative shocks	-0.0845	-1.74*

V-Lab

RB Capital Desenvolvimento Residencial IV FII GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other RB Capital Desenvolvimento Residencial IV FII Analyses