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
ωconst	1.0000	1.50
αARCH	0.1465	4.52***
βGARCH	0.7866	18.63***
γleverage	-0.1085	-0.54
δpower	1.2090	4.19***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	1.50
α ARCH Response to squared shocks	0.1465	4.52***
β GARCH Volatility persistence	0.7866	18.63***
γ leverage Additional response to negative shocks	-0.1085	-0.54
δ power Transformation power	1.2090	4.19***

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S&P / ASX 200 Volatility Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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