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	0.4602	4.35***
αARCH	0.0590	5.97***
βGARCH	0.9175	68.93***

γ₁	-0.1887	-3.93***
γ₂	0.2048	2.99***
γ₃	0.0491	1.17
γ₄	-0.1064	-2.66***
γ₅	0.0462	1.65*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4602	4.35***
α ARCH Response to squared shocks	0.0590	5.97***
β GARCH Volatility persistence	0.9175	68.93***

γ₁	-0.1887	-3.93***
γ₂	0.2048	2.99***
γ₃	0.0491	1.17
γ₄	-0.1064	-2.66***
γ₅	0.0462	1.65*

V-Lab

Charter Hall Group Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Charter Hall Group Analyses