CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{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	1.7475	2.38**
αARCH	0.0719	1.85*
βGARCH	0.5793	2.39**

γ₁	-0.9670	-0.26
γ₂	6.5497	1.35
γ₃	-10.7430	-3.69***
γ₄	8.2041	3.01***
γ₅	-4.3721	-1.53
γ₆	-0.1947	-0.06
γ₇	7.6252	2.43**
γ₈	-13.0272	-4.13***
γ₉	9.6651	4.26***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7475	2.38**
α ARCH Response to squared shocks	0.0719	1.85*
β GARCH Volatility persistence	0.5793	2.39**

γ₁	-0.9670	-0.26
γ₂	6.5497	1.35
γ₃	-10.7430	-3.69***
γ₄	8.2041	3.01***
γ₅	-4.3721	-1.53
γ₆	-0.1947	-0.06
γ₇	7.6252	2.43**
γ₈	-13.0272	-4.13***
γ₉	9.6651	4.26***

V-Lab

FII RB CAPITAL I Fundo de Fundos Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FII RB CAPITAL I Fundo de Fundos Analyses