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	3.8246	1.54
αARCH	0.1376	3.69***
βGARCH	0.7888	16.66***
γleverage	0.8849	0.81

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.8246	1.54
α ARCH Response to squared shocks	0.1376	3.69***
β GARCH Volatility persistence	0.7888	16.66***
γ leverage Additional response to negative shocks	0.8849	0.81

V-Lab

Palisade Metals Ltd AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Palisade Metals Ltd Analyses