CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	0.0688	3.34***
αARCH	0.1564	2.96***
βGARCH	0.8479	36.86***
γleverage	-0.0266	-0.32

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0688	3.34***
α ARCH Response to squared shocks	0.1564	2.96***
β GARCH Volatility persistence	0.8479	36.86***
γ leverage Additional response to negative shocks	-0.0266	-0.32

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Shopping Patio Higienopolis GJR-GARCH Volatility Analysis

Date Range:

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