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	1.2217	5.30***
αARCH	0.1522	3.89***
βGARCH	0.6457	11.67***

γ₁	-0.0395	-0.35
γ₂	0.1757	1.08
γ₃	-0.2428	-2.12**
γ₄	0.2470	2.19**
γ₅	-0.3480	-2.84***
γ₆	0.4006	3.62***
γ₇	-0.2754	-3.09***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2217	5.30***
α ARCH Response to squared shocks	0.1522	3.89***
β GARCH Volatility persistence	0.6457	11.67***

γ₁	-0.0395	-0.35
γ₂	0.1757	1.08
γ₃	-0.2428	-2.12**
γ₄	0.2470	2.19**
γ₅	-0.3480	-2.84***
γ₆	0.4006	3.62***
γ₇	-0.2754	-3.09***

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