CBOE China ETF Volatility Index

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CBOE NASDAQ-100 Volatility Index

CBOE DJIA Volatility Index

CBOE Russell 2000 Volatility Index

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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	0.0246	12.77***
α ARCH Response to squared shocks	0.1625	26.68***
β GARCH Volatility persistence	0.9837	1,083.38***
γ leverage Additional response to negative shocks	-0.0382	-6.45***

V-Lab

iShares China Large-Cap ETF EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares China Large-Cap ETF Analyses