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
mwindow	31
αARCH	0.1469	3.22***
βGARCH	0.6849	7.57***
γleverage	-0.0919	-1.82*
λ₁tau intercept	0.4856	1.08
λ₂forecast adj.	0.4788	1.21
λ₃tau persistence	0.2451	0.40

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1469	3.22***
β GARCH Volatility persistence	0.6849	7.57***
γ leverage Additional response to negative shocks	-0.0919	-1.82*
λ₁ tau intercept Baseline long-term coefficient	0.4856	1.08
λ₂ forecast adj. Forecast performance sensitivity	0.4788	1.21
λ₃ tau persistence Long-term factor persistence	0.2451	0.40

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FII RB CAPITAL I Fundo de Fundos MF2-GARCH Volatility Analysis

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News Impact Curve

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