CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.0910	24.20***
β GARCH Volatility persistence	0.8262	175.76***
γ leverage Additional response to negative shocks	0.0300	6.22***
λ₁ tau intercept Baseline long-term coefficient	0.0180	3.87***
λ₂ forecast adj. Forecast performance sensitivity	0.0129	7.76***
λ₃ tau persistence Long-term factor persistence	0.9842	433.19***

V-Lab

Banco do Brasil SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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