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	1.2144	5.12***
α ARCH Response to squared shocks	0.1483	3.72***
β GARCH Volatility persistence	0.6742	12.68***

γ₁	-0.0403	-0.37
γ₂	0.1744	1.10
γ₃	-0.2486	-2.26**
γ₄	0.2663	2.50**
γ₅	-0.4242	-3.26***
γ₆	0.8085	4.44***

V-Lab

CBOE Brazil ETF Volatility Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other CBOE Brazil ETF Volatility Index Analyses