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
mwindow	106
αARCH	0.1595	5.39***
βGARCH	0.6525	14.59***
γleverage	0.0001	0.00
λ₁tau intercept	6.0214	0.33
λ₂forecast adj.	0.1286	0.33
λ₃tau persistence	0.7345	0.93

Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.1595	5.39***
β GARCH Volatility persistence	0.6525	14.59***
γ leverage Additional response to negative shocks	0.0001	0.00
λ₁ tau intercept Baseline long-term coefficient	6.0214	0.33
λ₂ forecast adj. Forecast performance sensitivity	0.1286	0.33
λ₃ tau persistence Long-term factor persistence	0.7345	0.93

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S&P / ASX 200 Volatility Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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