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	2.6242	17.24***
α ARCH Response to squared shocks	0.1338	19.15***
β GARCH Volatility persistence	0.7370	98.31***
γ leverage Additional response to negative shocks	-2.6947	-12.91***

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CBOE Brazil ETF Volatility Index AGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Brazil ETF Volatility Index Analyses