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	1.1524	1.19
αARCH	0.0877	1.64
βGARCH	0.9053	29.86***
γleverage	0.0102	0.13

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1524	1.19
α ARCH Response to squared shocks	0.0877	1.64
β GARCH Volatility persistence	0.9053	29.86***
γ leverage Additional response to negative shocks	0.0102	0.13

V-Lab

Range International Limited GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Range International Limited Analyses