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	1.0691	5.55***
α ARCH Response to squared shocks	0.1196	7.13***
β GARCH Volatility persistence	0.7676	25.14***

γ₁	0.0373	0.68
γ₂	0.0079	0.10
γ₃	-0.0717	-1.65*
γ₄	0.0630	1.80*
γ₅	-0.1176	-3.18***
γ₆	0.1218	3.71***

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Valid Solucoes E Servicos De Zero Slope Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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