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

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CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.7652	57.49***
γ leverage Additional response to negative shocks	0.1595	17.41***
λ₁ tau intercept Baseline long-term coefficient	0.1175	1.24
λ₂ forecast adj. Forecast performance sensitivity	0.1141	1.48
λ₃ tau persistence Long-term factor persistence	0.8606	8.72***

V-Lab

iShares MSCI Brazil Capped ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Brazil Capped ETF Analyses