S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

How volatility evolves over time

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{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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2743	0.78
α ARCH Response to squared shocks	0.0254	2.47**
β GARCH Volatility persistence	0.9709	71.23***
γ leverage Additional response to negative shocks	0.2103	1.89*
δ power Transformation power	1.9215	5.82***

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GCM Corp Ltd APARCH Volatility Analysis

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