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	0.4178	1.35
αARCH	0.1117	1.59
βGARCH	0.8827	9.94***
νDF	4.1776	0.67

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4178	1.35
α ARCH Response to squared shocks	0.1117	1.59
β GARCH Volatility persistence	0.8827	9.94***
ν DF Student-t tail thickness	4.1776	0.67

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Real Investor Fundo De Investimento Imobiliario GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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