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	0.1168	18.64***
α ARCH Response to squared shocks	0.0451	16.16***
β GARCH Volatility persistence	0.9018	332.53***
γ leverage Additional response to negative shocks	0.0726	8.90***

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