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	1.6434	2.94***
αARCH	0.1889	6.77***
βGARCH	0.7298	20.35***

γ₁	-0.0879	-0.10
γ₂	0.9378	0.79
γ₃	-1.7689	-1.71*
γ₄	2.3380	2.06**
γ₅	-3.2998	-3.58***
γ₆	4.1347	4.83***
γ₇	-4.2225	-4.32***
γ₈	3.5140	2.74***
γ₉	-3.0781	-2.00**
γ₁₀	2.2474	1.92*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6434	2.94***
α ARCH Response to squared shocks	0.1889	6.77***
β GARCH Volatility persistence	0.7298	20.35***

γ₁	-0.0879	-0.10
γ₂	0.9378	0.79
γ₃	-1.7689	-1.71*
γ₄	2.3380	2.06**
γ₅	-3.2998	-3.58***
γ₆	4.1347	4.83***
γ₇	-4.2225	-4.32***
γ₈	3.5140	2.74***
γ₉	-3.0781	-2.00**
γ₁₀	2.2474	1.92*

V-Lab

Shopping Patio Higienopolis Zero Slope Spline-GARCH Volatility Analysis

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