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

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CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1682	5.79***
α ARCH Response to squared shocks	0.0969	8.54***
β GARCH Volatility persistence	0.8661	68.08***

γ₁	0.0349	0.74
γ₂	-0.1013	-1.42
γ₃	0.1817	3.62***
γ₄	-0.2306	-5.51***
γ₅	0.1495	3.61***
γ₆	0.0079	0.16
γ₇	-0.0654	-1.27
γ₈	0.0199	0.58

V-Lab

iShares MSCI Netherlands ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Netherlands ETF Analyses