S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

How volatility evolves over time

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{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	0.1508	2.22**
αARCH	0.1741	2.55**
βGARCH	0.9757	83.70***
γleverage	0.0008	0.01

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1508	2.22**
α ARCH Response to squared shocks	0.1741	2.55**
β GARCH Volatility persistence	0.9757	83.70***
γ leverage Additional response to negative shocks	0.0008	0.01

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Everflow Resources Ltd EGARCH Volatility Analysis

Date Range:

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