CBOE Emerging Market Markets Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

CBOE S&P 500 9-Day Volatility Index

CBOE 3-Month Volatility Index

CBOE 1-Day Volatility Index

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
ω const Unconditional variance weight	0.6432	6.21***
α ARCH Response to squared shocks	0.1016	8.67***
β GARCH Volatility persistence	0.8684	66.33***

γ₁	-0.0409	-3.47***
γ₂	0.0579	3.47***
γ₃	-0.0204	-2.87***

V-Lab

iShares MSCI Emerging Markets ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Emerging Markets ETF Analyses