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	2.5516	3.31***
αARCH	0.0562	5.15***
βGARCH	0.9056	62.87***
γleverage	0.4526	0.23

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.5516	3.31***
α ARCH Response to squared shocks	0.0562	5.15***
β GARCH Volatility persistence	0.9056	62.87***
γ leverage Additional response to negative shocks	0.4526	0.23

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GCM Corp Ltd AGARCH Volatility Analysis

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