CBOE Brazil ETF Volatility Index

CBOE Volatility Index

CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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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
ω const Unconditional variance weight	1.1919	7.10***
α ARCH Response to squared shocks	0.0771	5.88***
β GARCH Volatility persistence	0.8806	51.60***

γ₁	-0.0979	-1.66*
γ₂	0.2369	2.40**
γ₃	-0.3126	-4.40***
γ₄	0.3330	5.62***
γ₅	-0.2320	-4.26***
γ₆	0.0930	1.64
γ₇	-0.0537	-0.82
γ₈	0.0583	1.21

V-Lab

iShares MSCI Brazil Capped ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Brazil Capped ETF Analyses