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	0.0721	5.41***
αARCH	0.2685	8.38***
βGARCH	0.7315	24.64***
γleverage	-0.0148	-0.26
δpower	1.2148	4.16***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0721	5.41***
α ARCH Response to squared shocks	0.2685	8.38***
β GARCH Volatility persistence	0.7315	24.64***
γ leverage Additional response to negative shocks	-0.0148	-0.26
δ power Transformation power	1.2148	4.16***

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