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
m window Rolling window length	81
α ARCH Response to squared shocks	0.1418	4.27***
β GARCH Volatility persistence	0.6377	21.21***
γ leverage Additional response to negative shocks	0.0189	0.58
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.20
λ₂ forecast adj. Forecast performance sensitivity	0.7028	0.21
λ₃ tau persistence Long-term factor persistence	0.1167	0.03

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Sequoia Logistica E Transpor MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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