CBOE China 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 illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.0356	6.17***
β GARCH Volatility persistence	0.8560	146.16***
γ leverage Additional response to negative shocks	0.0804	12.06***
λ₁ tau intercept Baseline long-term coefficient	0.5370	0.28
λ₂ forecast adj. Forecast performance sensitivity	0.8431	0.28
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

iShares China Large-Cap ETF MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares China Large-Cap ETF Analyses