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	71.5262	1.24
αARCH	0.0801	2.09**
βGARCH	0.9037	10.69***
νDF	2.8592	1.66*

Parameter	Value	t-statistic
ω const Unconditional variance weight	71.5262	1.24
α ARCH Response to squared shocks	0.0801	2.09**
β GARCH Volatility persistence	0.9037	10.69***
ν DF Student-t tail thickness	2.8592	1.66*

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Nodestream Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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