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	2.0817	4.62***
αARCH	0.0344	0.64
βGARCH	0.7225	1.43

γ₁	11.9192	6.26***
γ₂	-18.3245	-5.90***
γ₃	8.6195	4.37***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0817	4.62***
α ARCH Response to squared shocks	0.0344	0.64
β GARCH Volatility persistence	0.7225	1.43

γ₁	11.9192	6.26***
γ₂	-18.3245	-5.90***
γ₃	8.6195	4.37***

V-Lab

SJ Au Logistica FII Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SJ Au Logistica FII Analyses