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	0.9403	5.84***
αARCH	0.1099	6.51***
βGARCH	0.8012	25.35***

γ₁	0.0434	1.23
γ₂	-0.0880	-1.87*
γ₃	0.0979	3.26***
γ₄	-0.0834	-2.35**
γ₅	0.0211	0.52
γ₆	0.0622	1.64
γ₇	-0.0928	-3.52***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9403	5.84***
α ARCH Response to squared shocks	0.1099	6.51***
β GARCH Volatility persistence	0.8012	25.35***

γ₁	0.0434	1.23
γ₂	-0.0880	-1.87*
γ₃	0.0979	3.26***
γ₄	-0.0834	-2.35**
γ₅	0.0211	0.52
γ₆	0.0622	1.64
γ₇	-0.0928	-3.52***

V-Lab

Helix Resources Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Helix Resources Limited Analyses