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	1.2600	2.26**
αARCH	0.0572	2.78***
βGARCH	0.9184	62.42***
γleverage	0.0082	0.20

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2600	2.26**
α ARCH Response to squared shocks	0.0572	2.78***
β GARCH Volatility persistence	0.9184	62.42***
γ leverage Additional response to negative shocks	0.0082	0.20

V-Lab

Helix Resources Limited GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Helix Resources Limited Analyses