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	0.5419	4.75***
α ARCH Response to squared shocks	0.1792	3.78***
β GARCH Volatility persistence	0.6066	6.56***

γ₁	1.8573	1.81*
γ₂	-2.8789	-1.66*
γ₃	1.3853	0.81
γ₄	-0.5388	-0.30
γ₅	-1.3703	-1.06
γ₆	4.6207	4.54***
γ₇	-4.7656	-5.56***

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Sequoia Logistica E Transpor Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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