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	0.0183	4.25***
αARCH	0.0235	3.81***
βGARCH	0.9424	142.68***
γleverage	0.0489	3.08***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0183	4.25***
α ARCH Response to squared shocks	0.0235	3.81***
β GARCH Volatility persistence	0.9424	142.68***
γ leverage Additional response to negative shocks	0.0489	3.08***

V-Lab

GPT Group/The GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other GPT Group/The Analyses