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
mwindow	21
αARCH	0.5102	4.46***
βGARCH	0.6561	3.97***
γleverage	-0.4412	-6.12***
λ₁tau intercept	10.0000	0.89
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9790	37.62***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.5102	4.46***
β GARCH Volatility persistence	0.6561	3.97***
γ leverage Additional response to negative shocks	-0.4412	-6.12***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.89
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9790	37.62***

V-Lab

SJ Au Logistica FII MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SJ Au Logistica FII Analyses