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	0.1580	0.13
αARCH	0.6974	6.67***
βGARCH	0.3016	10.55***

γ₁	198.3270	0.78
γ₂	-408.6766	-1.52
γ₃	424.2726	14.75***
γ₄	-326.9171	-10.30***
γ₅	133.6607	4.80***
γ₆	-28.5305	-1.84*
γ₇	10.0852	1.33
γ₈	-1.8618	-0.25
γ₉	-2.7250	-0.33
γ₁₀	4.0940	0.68

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1580	0.13
α ARCH Response to squared shocks	0.6974	6.67***
β GARCH Volatility persistence	0.3016	10.55***

γ₁	198.3270	0.78
γ₂	-408.6766	-1.52
γ₃	424.2726	14.75***
γ₄	-326.9171	-10.30***
γ₅	133.6607	4.80***
γ₆	-28.5305	-1.84*
γ₇	10.0852	1.33
γ₈	-1.8618	-0.25
γ₉	-2.7250	-0.33
γ₁₀	4.0940	0.68

V-Lab

Palisade Metals Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Palisade Metals Ltd Analyses