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	0.0934	11.83***
α ARCH Response to squared shocks	0.0224	9.56***
β GARCH Volatility persistence	0.9173	294.11***
γ leverage Additional response to negative shocks	0.0804	12.58***

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