S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

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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	0.8972	0.83
αARCH	0.1095	3.02***
βGARCH	0.8462	13.82***
γleverage	-0.0493	-0.33
δpower	1.2922	2.87***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8972	0.83
α ARCH Response to squared shocks	0.1095	3.02***
β GARCH Volatility persistence	0.8462	13.82***
γ leverage Additional response to negative shocks	-0.0493	-0.33
δ power Transformation power	1.2922	2.87***

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Palisade Metals Ltd APARCH Volatility Analysis

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