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
mwindow	76
αARCH	0.0519	2.85***
βGARCH	0.8251	11.74***
γleverage	-0.0203	-0.88
λ₁tau intercept	10.0000	1.35
λ₂forecast adj.	0.7308	3.66***
λ₃tau persistence	0.1324	0.51

Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.0519	2.85***
β GARCH Volatility persistence	0.8251	11.74***
γ leverage Additional response to negative shocks	-0.0203	-0.88
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.35
λ₂ forecast adj. Forecast performance sensitivity	0.7308	3.66***
λ₃ tau persistence Long-term factor persistence	0.1324	0.51

V-Lab

GCM Corp Ltd MF2-GARCH Volatility Analysis

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