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	0.0361	6.82***
β GARCH Volatility persistence	0.8553	146.26***
γ leverage Additional response to negative shocks	0.0802	12.68***
λ₁ tau intercept Baseline long-term coefficient	0.5049	0.39
λ₂ forecast adj. Forecast performance sensitivity	0.7808	0.39
λ₃ tau persistence Long-term factor persistence	0.0724	0.03

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