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	2.0121	12.50***
α ARCH Response to squared shocks	0.1412	7.65***
β GARCH Volatility persistence	0.7820	64.36***
γ leverage Additional response to negative shocks	0.0960	3.13***

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Sequoia Logistica E Transpor GJR-GARCH Volatility Analysis

Date Range:

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