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	0.5743	5.80***
αARCH	0.2474	7.07***
βGARCH	0.6252	13.61***

γ₁	-0.0106	-0.03
γ₂	0.2353	0.49
γ₃	-1.1619	-3.03***
γ₄	2.4638	5.43***
γ₅	-2.6228	-4.05***
γ₆	1.3697	1.68*
γ₇	-0.4763	-0.72
γ₈	0.6361	1.48
γ₉	-0.6861	-2.68***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5743	5.80***
α ARCH Response to squared shocks	0.2474	7.07***
β GARCH Volatility persistence	0.6252	13.61***

γ₁	-0.0106	-0.03
γ₂	0.2353	0.49
γ₃	-1.1619	-3.03***
γ₄	2.4638	5.43***
γ₅	-2.6228	-4.05***
γ₆	1.3697	1.68*
γ₇	-0.4763	-0.72
γ₈	0.6361	1.48
γ₉	-0.6861	-2.68***

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