S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

How volatility evolves over time

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{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	5.0000	3.15***
αARCH	0.0962	3.68***
βGARCH	0.8096	20.23***

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	3.15***
α ARCH Response to squared shocks	0.0962	3.68***
β GARCH Volatility persistence	0.8096	20.23***

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Nodestream Ltd GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nodestream Ltd Analyses