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	2.0646	12.64***
α ARCH Response to squared shocks	0.1468	7.76***
β GARCH Volatility persistence	0.7754	61.93***
γ leverage Additional response to negative shocks	0.0977	3.07***

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Sequoia Logistica E Transpor GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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