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	0.8717	7.46***
αARCH	0.1115	3.93***
βGARCH	0.5322	4.55***

γ₁	-0.1104	-0.41
γ₂	-0.2206	-0.54
γ₃	0.8096	3.26***
γ₄	-0.5812	-2.49**
γ₅	-0.0940	-0.35
γ₆	0.7076	2.11**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8717	7.46***
α ARCH Response to squared shocks	0.1115	3.93***
β GARCH Volatility persistence	0.5322	4.55***

γ₁	-0.1104	-0.41
γ₂	-0.2206	-0.54
γ₃	0.8096	3.26***
γ₄	-0.5812	-2.49**
γ₅	-0.0940	-0.35
γ₆	0.7076	2.11**

V-Lab

Nodestream Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nodestream Ltd Analyses