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	0.5447	4.71***
α ARCH Response to squared shocks	0.1817	3.88***
β GARCH Volatility persistence	0.6111	6.84***

γ₁	1.8567	1.76*
γ₂	-2.8495	-1.60
γ₃	1.2780	0.75
γ₄	-0.3079	-0.18
γ₅	-1.7398	-1.49
γ₆	4.9650	4.79***
γ₇	-4.8755	-5.43***

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Sequoia Logistica E Transpor Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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