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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Param	Value	t-stat
ωconst	2.3320	4.99***
αARCH	0.1102	5.90***
βGARCH	0.8666	46.39***
γleverage	-0.0380	-1.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3320	4.99***
α ARCH Response to squared shocks	0.1102	5.90***
β GARCH Volatility persistence	0.8666	46.39***
γ leverage Additional response to negative shocks	-0.0380	-1.22

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Helix Resources Limited Asy. MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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