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	91
αARCH	0.1302	3.09***
βGARCH	0.1868	1.51
γleverage	0.0524	0.67
λ₁tau intercept	10.0000	2.34**
λ₂forecast adj.	0.8147	9.40***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.1302	3.09***
β GARCH Volatility persistence	0.1868	1.51
γ leverage Additional response to negative shocks	0.0524	0.67
λ₁ tau intercept Baseline long-term coefficient	10.0000	2.34**
λ₂ forecast adj. Forecast performance sensitivity	0.8147	9.40***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Nodestream Ltd MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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