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	126
αARCH	0.0219	3.80***
βGARCH	0.9432	134.55***
γleverage	0.0521	5.20***
λ₁tau intercept	0.0165	0.56
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9915	76.86***

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0219	3.80***
β GARCH Volatility persistence	0.9432	134.55***
γ leverage Additional response to negative shocks	0.0521	5.20***
λ₁ tau intercept Baseline long-term coefficient	0.0165	0.56
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9915	76.86***

V-Lab

GPT Group/The MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other GPT Group/The Analyses