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	0.2329	12.22***
α ARCH Response to squared shocks	0.1840	13.22***
β GARCH Volatility persistence	0.9305	179.46***
γ leverage Additional response to negative shocks	0.1129	9.47***

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CBOE Brazil ETF Volatility Index EGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Brazil ETF Volatility Index Analyses