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	4.6050	5.90***
α ARCH Response to squared shocks	0.0823	8.01***
β GARCH Volatility persistence	0.8856	75.40***

γ₁	0.0351	5.36***
γ₂	-0.0373	-4.17***
γ₃	0.0018	0.38
γ₄	0.0029	0.95

V-Lab

Ibovespa Brasil Sao Paulo Stock Exchange Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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