Volatility Index (IVol-BR)

Discontinued — ends Apr 2022

Coverage
1 Aug 2011 – 29 Apr 2022
Frequency
Daily
Files
3

This series is no longer updated. It is complete as published — the last observation is 29 April 2022 — and the page is kept as a historical archive.

NEFIN constructs an implied, forward-looking volatility index for the Brazilian stock market — IVol-BR. The methodology combines standard international practice with adjustments for the relatively low liquidity of options over IBOVESPA. The index is decomposed into variance premium and expected variance; from the variance premium we extract a time-varying risk aversion coefficient.

Download

Read it directly

# Python
import pandas as pd
df = pd.read_csv("https://nefin.com.br/nefindata/volatility-index/ivol_br.csv")

# R
df <- readr::read_csv("https://nefin.com.br/nefindata/volatility-index/ivol_br.csv")

How to cite

Please cite the dataset when you use it in published work.

NEFIN (2026). Volatility Index (IVol-BR).
Center for Research in Financial Economics, University of São Paulo.
https://nefin.com.br/data/volatility-index/