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
m window Rolling window length	21
α ARCH Response to squared shocks	0.2319	23.70***
β GARCH Volatility persistence	0.6104	27.90***
γ leverage Additional response to negative shocks	-0.1785	-13.45***
λ₁ tau intercept Baseline long-term coefficient	0.8541	1.17
λ₂ forecast adj. Forecast performance sensitivity	0.0263	1.16
λ₃ tau persistence Long-term factor persistence	0.9401	19.01***

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CBOE Brazil ETF Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Brazil ETF Volatility Index Analyses