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	1.1584	5.83***
α ARCH Response to squared shocks	0.1416	3.73***
β GARCH Volatility persistence	0.6822	12.94***

γ₁	-0.1883	-0.66
γ₂	0.3257	0.63
γ₃	-0.1570	-0.35
γ₄	0.2066	0.53
γ₅	-0.4560	-1.15
γ₆	0.3839	0.98
γ₇	0.1738	0.41
γ₈	-1.0436	-2.41**
γ₉	1.5352	4.02***
γ₁₀	-1.0917	-3.45***

V-Lab

CBOE Brazil ETF Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Brazil ETF Volatility Index Analyses