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	0.7455	7.74***
αARCH	0.1648	6.13***
βGARCH	0.6726	15.95***

γ₁	-0.0449	-1.89*
γ₂	0.0667	1.95*
γ₃	-0.0454	-2.16**
γ₄	0.0356	2.42**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7455	7.74***
α ARCH Response to squared shocks	0.1648	6.13***
β GARCH Volatility persistence	0.6726	15.95***

γ₁	-0.0449	-1.89*
γ₂	0.0667	1.95*
γ₃	-0.0454	-2.16**
γ₄	0.0356	2.42**

V-Lab

S&P / ASX 200 Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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