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	4.0399	1.34
αARCH	0.0507	9.33***
βGARCH	0.9932	192.82***
νDF	5.2027	2.69***

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.0399	1.34
α ARCH Response to squared shocks	0.0507	9.33***
β GARCH Volatility persistence	0.9932	192.82***
ν DF Student-t tail thickness	5.2027	2.69***

V-Lab

Charter Hall Group GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Charter Hall Group Analyses