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	1.1532	6.02***
αARCH	0.0444	3.64***
βGARCH	0.8802	21.73***

γ₁	0.3140	0.85
γ₂	-0.1286	-0.22
γ₃	-0.7040	-1.75*
γ₄	1.0646	2.88***
γ₅	-0.6041	-1.19
γ₆	-0.4419	-0.65
γ₇	0.9505	1.79*
γ₈	-0.2455	-0.66
γ₉	-0.8696	-1.90*
γ₁₀	1.0057	2.87***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1532	6.02***
α ARCH Response to squared shocks	0.0444	3.64***
β GARCH Volatility persistence	0.8802	21.73***

γ₁	0.3140	0.85
γ₂	-0.1286	-0.22
γ₃	-0.7040	-1.75*
γ₄	1.0646	2.88***
γ₅	-0.6041	-1.19
γ₆	-0.4419	-0.65
γ₇	0.9505	1.79*
γ₈	-0.2455	-0.66
γ₉	-0.8696	-1.90*
γ₁₀	1.0057	2.87***

V-Lab

GCM Corp Ltd Zero Slope Spline-GARCH Volatility Analysis

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