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	0.0446	1.19
αARCH	0.0520	1.04
βGARCH	0.8818	19.60***
γleverage	-0.1038	-0.65
δpower	3.0000	2.59***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0446	1.19
α ARCH Response to squared shocks	0.0520	1.04
β GARCH Volatility persistence	0.8818	19.60***
γ leverage Additional response to negative shocks	-0.1038	-0.65
δ power Transformation power	3.0000	2.59***

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Patria Top Offices Fundo de Investimento Imobiliario - Responsabilidade Limitada APARCH Volatility Analysis

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