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	1.9926	12.41***
α ARCH Response to squared shocks	0.1401	7.59***
β GARCH Volatility persistence	0.7834	64.42***
γ leverage Additional response to negative shocks	0.0954	3.10***

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Sequoia Logistica E Transpor GJR-GARCH Volatility Analysis

Date Range:

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