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	0.7872	2.67***
α ARCH Response to squared shocks	0.3319	23.02***
β GARCH Volatility persistence	0.6537	63.21***
γ leverage Additional response to negative shocks	-0.0045	-0.33
δ power Transformation power	1.5303	7.92***

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Sequoia Logistica E Transpor Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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