CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	0.5002	3.35***
αARCH	0.2445	1.87*
βGARCH	0.3816	2.58***
γleverage	-0.1332	-0.80

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5002	3.35***
α ARCH Response to squared shocks	0.2445	1.87*
β GARCH Volatility persistence	0.3816	2.58***
γ leverage Additional response to negative shocks	-0.1332	-0.80

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Suno Fundo de Funods de Investimento Imobiliario GJR-GARCH Volatility Analysis

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