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	0.0582	10.15***
α ARCH Response to squared shocks	0.1988	53.64***
β GARCH Volatility persistence	0.7886	278.25***

V-Lab

Ibovespa Brasil Sao Paulo Stock Exchange Index MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ibovespa Brasil Sao Paulo Stock Exchange Index Analyses