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	0.5454	4.67***
α ARCH Response to squared shocks	0.1834	3.93***
β GARCH Volatility persistence	0.6142	7.05***

γ₁	1.8546	1.72*
γ₂	-2.8305	-1.57
γ₃	1.2175	0.72
γ₄	-0.1783	-0.11
γ₅	-1.9602	-1.77*
γ₆	5.2204	4.83***
γ₇	-5.0650	-5.25***

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Sequoia Logistica E Transpor Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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