S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	5.0000	2.29**
αARCH	0.1734	3.21***
βGARCH	0.7431	20.13***

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	2.29**
α ARCH Response to squared shocks	0.1734	3.21***
β GARCH Volatility persistence	0.7431	20.13***

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Nodestream Ltd MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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