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	96
αARCH	0.2821	5.03***
βGARCH	0.6225	6.60***
γleverage	-0.2821	-5.57***
λ₁tau intercept	0.0421	0.84
λ₂forecast adj.	0.0251	1.65*
λ₃tau persistence	0.9481	27.18***

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.2821	5.03***
β GARCH Volatility persistence	0.6225	6.60***
γ leverage Additional response to negative shocks	-0.2821	-5.57***
λ₁ tau intercept Baseline long-term coefficient	0.0421	0.84
λ₂ forecast adj. Forecast performance sensitivity	0.0251	1.65*
λ₃ tau persistence Long-term factor persistence	0.9481	27.18***

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Patria Top Offices Fundo de Investimento Imobiliario - Responsabilidade Limitada MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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