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	0.3403	0.81
αARCH	0.0163	2.63***
βGARCH	0.9701	67.18***
γleverage	0.0189	0.83

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3403	0.81
α ARCH Response to squared shocks	0.0163	2.63***
β GARCH Volatility persistence	0.9701	67.18***
γ leverage Additional response to negative shocks	0.0189	0.83

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GCM Corp Ltd GJR-GARCH Volatility Analysis

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