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	0.0395	1.17
αARCH	0.0925	0.83
βGARCH	0.8930	17.94***
γleverage	-0.0234	-0.12

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0395	1.17
α ARCH Response to squared shocks	0.0925	0.83
β GARCH Volatility persistence	0.8930	17.94***
γ leverage Additional response to negative shocks	-0.0234	-0.12

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

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News Impact Curve

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