CBOE Brazil ETF 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	1.2626	2.90***
αARCH	0.2551	3.02***
βGARCH	0.2178	1.14

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2626	2.90***
α ARCH Response to squared shocks	0.2551	3.02***
β GARCH Volatility persistence	0.2178	1.14

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