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	8.0779	2.13**
α ARCH Response to squared shocks	0.0818	8.10***
β GARCH Volatility persistence	0.9990	2,973.21***
ν DF Student-t tail thickness	2.0000

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Ibovespa Brasil Sao Paulo Stock Exchange Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ibovespa Brasil Sao Paulo Stock Exchange Index Analyses