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	1.0000	1.57
αARCH	0.0560	5.04***
βGARCH	0.9282	85.41***
γleverage	0.0385	0.38
δpower	1.9997	7.26***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	1.57
α ARCH Response to squared shocks	0.0560	5.04***
β GARCH Volatility persistence	0.9282	85.41***
γ leverage Additional response to negative shocks	0.0385	0.38
δ power Transformation power	1.9997	7.26***

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Helix Resources Limited APARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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