S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	0.3993	1.01
αARCH	0.0259	2.65***
βGARCH	0.9685	62.58***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3993	1.01
α ARCH Response to squared shocks	0.0259	2.65***
β GARCH Volatility persistence	0.9685	62.58***

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GCM Corp Ltd GARCH Volatility Analysis

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News Impact Curve

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Parameter Estimates

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