CBOE Brazil ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	6.9409	3.80***
α ARCH Response to squared shocks	0.0831	24.41***
β GARCH Volatility persistence	0.9809	183.76***
ν DF Student-t tail thickness	3.9651	10.00***

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