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	0.4716	2.84***
αARCH	0.4164	3.74***
βGARCH	0.4410	2.35**
γleverage	-0.0425	-0.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4716	2.84***
α ARCH Response to squared shocks	0.4164	3.74***
β GARCH Volatility persistence	0.4410	2.35**
γ leverage Additional response to negative shocks	-0.0425	-0.35

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