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	1.2112	5.31***
αARCH	0.1503	3.84***
βGARCH	0.6460	11.55***

γ₁	-0.0414	-0.37
γ₂	0.1786	1.11
γ₃	-0.2457	-2.16**
γ₄	0.2527	2.25**
γ₅	-0.3618	-2.95***
γ₆	0.4327	3.85***
γ₇	-0.3121	-3.45***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2112	5.31***
α ARCH Response to squared shocks	0.1503	3.84***
β GARCH Volatility persistence	0.6460	11.55***

γ₁	-0.0414	-0.37
γ₂	0.1786	1.11
γ₃	-0.2457	-2.16**
γ₄	0.2527	2.25**
γ₅	-0.3618	-2.95***
γ₆	0.4327	3.85***
γ₇	-0.3121	-3.45***

V-Lab

CBOE Brazil ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Brazil ETF Volatility Index Analyses