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	0.0919	2.93***
αARCH	0.4406	4.55***
βGARCH	0.4993	5.45***
γleverage	0.0551	0.86
δpower	1.2372	2.28**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0919	2.93***
α ARCH Response to squared shocks	0.4406	4.55***
β GARCH Volatility persistence	0.4993	5.45***
γ leverage Additional response to negative shocks	0.0551	0.86
δ power Transformation power	1.2372	2.28**

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