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	0.3117	1.21
αARCH	0.2943	2.35**
βGARCH	0.9512	21.27***
γleverage	0.1904	1.68*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3117	1.21
α ARCH Response to squared shocks	0.2943	2.35**
β GARCH Volatility persistence	0.9512	21.27***
γ leverage Additional response to negative shocks	0.1904	1.68*

V-Lab

SJ Au Logistica FII EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SJ Au Logistica FII Analyses