CBOE Brazil ETF Volatility Index

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CBOE NASDAQ-100 Volatility Index

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CBOE Russell 2000 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	0.0864	9.09***
α ARCH Response to squared shocks	0.1025	19.21***
β GARCH Volatility persistence	0.8732	243.98***
γ leverage Additional response to negative shocks	0.1382	13.95***
δ power Transformation power	2.4344	18.56***

V-Lab

iShares MSCI Brazil Capped ETF Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Brazil Capped ETF Analyses