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	70.9725	1.26
αARCH	0.0829	2.05**
βGARCH	0.8987	10.21***
νDF	2.8654	1.64

Parameter	Value	t-statistic
ω const Unconditional variance weight	70.9725	1.26
α ARCH Response to squared shocks	0.0829	2.05**
β GARCH Volatility persistence	0.8987	10.21***
ν DF Student-t tail thickness	2.8654	1.64

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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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