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

CBOE 1-Day Volatility Index

CBOE S&P 500 6-Month Volatility Index

CBOE S&P 500 One-Year Volatility Index

CBOE Skew Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.1794	7.04***
αARCH	0.0757	5.78***
βGARCH	0.8816	51.21***

γ₁	-0.0977	-1.70*
γ₂	0.2351	2.44**
γ₃	-0.3106	-4.48***
γ₄	0.3346	5.75***
γ₅	-0.2376	-4.45***
γ₆	0.0982	1.80*
γ₇	-0.0546	-0.87
γ₈	0.0565	1.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1794	7.04***
α ARCH Response to squared shocks	0.0757	5.78***
β GARCH Volatility persistence	0.8816	51.21***

γ₁	-0.0977	-1.70*
γ₂	0.2351	2.44**
γ₃	-0.3106	-4.48***
γ₄	0.3346	5.75***
γ₅	-0.2376	-4.45***
γ₆	0.0982	1.80*
γ₇	-0.0546	-0.87
γ₈	0.0565	1.22

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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