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	111
αARCH	0.1043	3.12***
βGARCH	0.5193	5.78***
γleverage	0.0455	0.71
λ₁tau intercept	7.5977	2.16**
λ₂forecast adj.	0.8847	10.92***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	111
α ARCH Response to squared shocks	0.1043	3.12***
β GARCH Volatility persistence	0.5193	5.78***
γ leverage Additional response to negative shocks	0.0455	0.71
λ₁ tau intercept Baseline long-term coefficient	7.5977	2.16**
λ₂ forecast adj. Forecast performance sensitivity	0.8847	10.92***
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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