CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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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
mwindow	31
αARCH	0.1756	4.44***
βGARCH	0.6733	12.96***
γleverage	-0.0489	-0.89
λ₁tau intercept	0.6138	2.69***
λ₂forecast adj.	0.8178	9.03***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	31
α ARCH Response to squared shocks	0.1756	4.44***
β GARCH Volatility persistence	0.6733	12.96***
γ leverage Additional response to negative shocks	-0.0489	-0.89
λ₁ tau intercept Baseline long-term coefficient	0.6138	2.69***
λ₂ forecast adj. Forecast performance sensitivity	0.8178	9.03***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Shopping Patio Higienopolis MF2-GARCH Volatility Analysis

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