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	0.0555	23.63***
α ARCH Response to squared shocks	0.1970	66.68***
β GARCH Volatility persistence	0.7916	266.99***
γ leverage Additional response to negative shocks	0.1338	27.55***
δ power Transformation power	1.6552	36.94***

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Ibovespa Brasil Sao Paulo Stock Exchange Index Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ibovespa Brasil Sao Paulo Stock Exchange Index Analyses