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	2.4601	1.22
αARCH	0.1060	1.53
βGARCH	0.8539	16.31***
γleverage	-0.0114	-0.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.4601	1.22
α ARCH Response to squared shocks	0.1060	1.53
β GARCH Volatility persistence	0.8539	16.31***
γ leverage Additional response to negative shocks	-0.0114	-0.13

V-Lab

Palisade Metals Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Palisade Metals Ltd Analyses