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
ω const Unconditional variance weight	0.7005	5.88***
α ARCH Response to squared shocks	0.0837	5.84***
β GARCH Volatility persistence	0.8964	56.83***

γ₁	-0.0377	-3.44***
γ₂	0.0607	3.68***
γ₃	-0.0318	-3.57***

V-Lab

iShares China Large-Cap ETF Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares China Large-Cap ETF Analyses