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	1.1742	7.04***
αARCH	0.0759	5.75***
βGARCH	0.8804	50.31***

γ₁	-0.1007	-1.81*
γ₂	0.2410	2.58***
γ₃	-0.3179	-4.72***
γ₄	0.3468	6.11***
γ₅	-0.2565	-4.91***
γ₆	0.1241	2.28**
γ₇	-0.0946	-1.38
γ₈	0.1447	1.70*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1742	7.04***
α ARCH Response to squared shocks	0.0759	5.75***
β GARCH Volatility persistence	0.8804	50.31***

γ₁	-0.1007	-1.81*
γ₂	0.2410	2.58***
γ₃	-0.3179	-4.72***
γ₄	0.3468	6.11***
γ₅	-0.2565	-4.91***
γ₆	0.1241	2.28**
γ₇	-0.0946	-1.38
γ₈	0.1447	1.70*

V-Lab

iShares MSCI Brazil Capped ETF Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Brazil Capped ETF Analyses