S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωlong-run	0.7983	3.57***
αscore	0.0798	9.18***
βpersistence	0.9818	161.83***
νDF	9.6783	1.22

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	0.7983	3.57***
α score Weight on the scaled score	0.0798	9.18***
β persistence Volatility persistence	0.9818	161.83***
ν DF Student-t tail thickness	9.6783	1.22

V-Lab

S&P/ASX 200 GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P/ASX 200 Analyses