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	56
αARCH	0.2394	5.40***
βGARCH	0.4853	5.93***
γleverage	-0.0975	-1.71*
λ₁tau intercept	3.6339	1.31
λ₂forecast adj.	0.2352	1.41
λ₃tau persistence	0.7102	3.49***

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.2394	5.40***
β GARCH Volatility persistence	0.4853	5.93***
γ leverage Additional response to negative shocks	-0.0975	-1.71*
λ₁ tau intercept Baseline long-term coefficient	3.6339	1.31
λ₂ forecast adj. Forecast performance sensitivity	0.2352	1.41
λ₃ tau persistence Long-term factor persistence	0.7102	3.49***

V-Lab

Helix Resources Limited MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Helix Resources Limited Analyses