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	0.9272	5.78***
αARCH	0.1116	6.59***
βGARCH	0.7969	25.02***

γ₁	0.0414	1.17
γ₂	-0.0851	-1.81*
γ₃	0.0959	3.18***
γ₄	-0.0811	-2.27**
γ₅	0.0179	0.44
γ₆	0.0661	1.73*
γ₇	-0.0961	-3.61***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9272	5.78***
α ARCH Response to squared shocks	0.1116	6.59***
β GARCH Volatility persistence	0.7969	25.02***

γ₁	0.0414	1.17
γ₂	-0.0851	-1.81*
γ₃	0.0959	3.18***
γ₄	-0.0811	-2.27**
γ₅	0.0179	0.44
γ₆	0.0661	1.73*
γ₇	-0.0961	-3.61***

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