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	10.9939	12.30***
α ARCH Response to squared shocks	0.0404	44.04***
β GARCH Volatility persistence	0.9990	570.53***
ν DF Student-t tail thickness	2.8184	67.70***

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Sequoia Logistica E Transpor GAS-GARCH Student T Volatility Analysis

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