CBOE Brazil ETF 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

{name} Model Equation

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0550	16.44***
α ARCH Response to squared shocks	0.0628	21.34***
β GARCH Volatility persistence	0.9267	329.30***
γ leverage Additional response to negative shocks	0.4860	15.30***
δ power Transformation power	1.3710	32.36***

V-Lab

iShares MSCI Brazil Capped ETF APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Brazil Capped ETF Analyses