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	0.1406	4.23***
β GARCH Volatility persistence	0.6404	20.90***
γ leverage Additional response to negative shocks	0.0204	0.63
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.20
λ₂ forecast adj. Forecast performance sensitivity	0.7179	0.21
λ₃ tau persistence Long-term factor persistence	0.1032	0.02

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Sequoia Logistica E Transpor MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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