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 S&P 500 6-Month Volatility Index

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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	0.6383	5.96***
α ARCH Response to squared shocks	0.1019	8.71***
β GARCH Volatility persistence	0.8683	66.44***

γ₁	-0.0419	-3.32***
γ₂	0.0604	3.16***
γ₃	-0.0254	-1.47

V-Lab

iShares MSCI Emerging Markets ETF Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Emerging Markets ETF Analyses