CBOE Brazil ETF Volatility Index

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CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

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	0.0935	11.90***
α ARCH Response to squared shocks	0.0221	9.48***
β GARCH Volatility persistence	0.9178	296.54***
γ leverage Additional response to negative shocks	0.0799	12.60***

V-Lab

iShares MSCI Brazil Capped ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Brazil Capped ETF Analyses