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

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0289	6.76***
α ARCH Response to squared shocks	0.1225	25.48***
β GARCH Volatility persistence	0.9828	660.93***
γ leverage Additional response to negative shocks	-0.0634	-15.83***

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iShares MSCI Brazil Capped ETF EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Brazil Capped ETF Analyses