CBOE Brazil ETF Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0430	8.06***
α ARCH Response to squared shocks	0.0623	11.03***
β GARCH Volatility persistence	0.8986	167.39***
γ leverage Additional response to negative shocks	0.0618	8.90***

V-Lab

iShares MSCI Brazil Capped ETF Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Brazil Capped ETF Analyses