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	1.1835	7.08***
α ARCH Response to squared shocks	0.0758	5.79***
β GARCH Volatility persistence	0.8819	51.50***

γ₁	-0.0991	-1.70*
γ₂	0.2387	2.44**
γ₃	-0.3141	-4.48***
γ₄	0.3353	5.71***
γ₅	-0.2345	-4.35***
γ₆	0.0943	1.69*
γ₇	-0.0533	-0.83
γ₈	0.0573	1.22

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