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	0.0713
αARCH	0.6564
βGARCH	0.3436

γ₁	35.8397
γ₂	-172.8212
γ₃	368.4083
γ₄	-471.5972
γ₅	422.6238
γ₆	-263.1360
γ₇	92.6065
γ₈	-19.2769
γ₉	14.0111

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0713
α ARCH Response to squared shocks	0.6564
β GARCH Volatility persistence	0.3436

γ₁	35.8397
γ₂	-172.8212
γ₃	368.4083
γ₄	-471.5972
γ₅	422.6238
γ₆	-263.1360
γ₇	92.6065
γ₈	-19.2769
γ₉	14.0111

V-Lab

Palisade Metals Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Palisade Metals Ltd Analyses