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

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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	1.0000	2.17**
αARCH	0.0691	5.68***
βGARCH	0.9106	79.95***
γleverage	-0.1063	-1.55
δpower	1.8711	7.57***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	2.17**
α ARCH Response to squared shocks	0.0691	5.68***
β GARCH Volatility persistence	0.9106	79.95***
γ leverage Additional response to negative shocks	-0.1063	-1.55
δ power Transformation power	1.8711	7.57***

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Helix Resources Limited Asy. Power MEM Volatility Analysis

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