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
ωlong-run	137.0680	2.18**
αscore	0.1602	10.34***
βpersistence	0.9985	1,190.05***
νDF	9.2758	2.07**

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	137.0680	2.18**
α score Weight on the scaled score	0.1602	10.34***
β persistence Volatility persistence	0.9985	1,190.05***
ν DF Student-t tail thickness	9.2758	2.07**

V-Lab

Everflow Resources Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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