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	86
αARCH	0.1331	4.89***
βGARCH	0.6595	11.59***
γleverage	0.0476	1.14
λ₁tau intercept	0.0490	1.38
λ₂forecast adj.	0.2333	2.53**
λ₃tau persistence	0.7658	8.15***

Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.1331	4.89***
β GARCH Volatility persistence	0.6595	11.59***
γ leverage Additional response to negative shocks	0.0476	1.14
λ₁ tau intercept Baseline long-term coefficient	0.0490	1.38
λ₂ forecast adj. Forecast performance sensitivity	0.2333	2.53**
λ₃ tau persistence Long-term factor persistence	0.7658	8.15***

V-Lab

Ingenia Communities Group MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Ingenia Communities Group Analyses