CBOE Emerging Market Markets Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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CBOE 3-Month Volatility Index

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CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew 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	36
α ARCH Response to squared shocks	0.0077	2.22**
β GARCH Volatility persistence	0.8291	134.09***
γ leverage Additional response to negative shocks	0.1611	28.77***
λ₁ tau intercept Baseline long-term coefficient	0.0272	4.10***
λ₂ forecast adj. Forecast performance sensitivity	0.0696	4.07***
λ₃ tau persistence Long-term factor persistence	0.9180	45.58***

V-Lab

iShares MSCI Emerging Markets ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Emerging Markets ETF Analyses