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	3.1626	6.32***
αARCH	0.1367	2.60***
βGARCH	0.6214	3.05***

γ₁	4.0612	7.37***
γ₂	-4.6601	-6.33***

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.1626	6.32***
α ARCH Response to squared shocks	0.1367	2.60***
β GARCH Volatility persistence	0.6214	3.05***

γ₁	4.0612	7.37***
γ₂	-4.6601	-6.33***

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Patria Top Offices Fundo de Investimento Imobiliario - Responsabilidade Limitada Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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