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	26
αARCH	0.2330	4.40***
βGARCH	0.6029	8.47***
γleverage	-0.1805	-4.29***
λ₁tau intercept	0.6838	0.97
λ₂forecast adj.	0.0126	1.13
λ₃tau persistence	0.9601	25.68***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.2330	4.40***
β GARCH Volatility persistence	0.6029	8.47***
γ leverage Additional response to negative shocks	-0.1805	-4.29***
λ₁ tau intercept Baseline long-term coefficient	0.6838	0.97
λ₂ forecast adj. Forecast performance sensitivity	0.0126	1.13
λ₃ tau persistence Long-term factor persistence	0.9601	25.68***

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CBOE Brazil ETF Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Brazil ETF Volatility Index Analyses