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	0.9313	5.86***
αARCH	0.1129	6.66***
βGARCH	0.7936	24.80***

γ₁	0.0429	1.23
γ₂	-0.0871	-1.87*
γ₃	0.0965	3.19***
γ₄	-0.0804	-2.24**
γ₅	0.0155	0.38
γ₆	0.0703	1.84*
γ₇	-0.0999	-3.75***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9313	5.86***
α ARCH Response to squared shocks	0.1129	6.66***
β GARCH Volatility persistence	0.7936	24.80***

γ₁	0.0429	1.23
γ₂	-0.0871	-1.87*
γ₃	0.0965	3.19***
γ₄	-0.0804	-2.24**
γ₅	0.0155	0.38
γ₆	0.0703	1.84*
γ₇	-0.0999	-3.75***

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