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
ω const Unconditional variance weight	0.9675	3.34***
α ARCH Response to squared shocks	0.0720	5.70***
β GARCH Volatility persistence	0.8888	42.79***

γ₁	-0.2867	-4.49***
γ₂	0.4288	3.23***
γ₃	-0.2070	-1.79*
γ₄	0.1087	1.58
γ₅	-0.1027	-2.09**
γ₆	0.1489	3.20***
γ₇	-0.1414	-2.98***
γ₈	0.0327	0.55
γ₉	0.0371	0.45
γ₁₀	-0.0121	-0.17

V-Lab

Banco do Brasil SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Banco do Brasil SA Analyses