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	4.71***
α ARCH Response to squared shocks	0.1818	3.88***
β GARCH Volatility persistence	0.6110	6.85***

γ₁	1.8658	1.77*
γ₂	-2.8614	-1.61
γ₃	1.2774	0.76
γ₄	-0.2906	-0.17
γ₅	-1.7880	-1.57
γ₆	5.0784	4.42***
γ₇	-5.1525	-2.57**

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Sequoia Logistica E Transpor Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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