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
mwindow	91
αARCH	0.1621	3.66***
βGARCH	0.7473	16.66***
γleverage	-0.0292	-0.44
λ₁tau intercept	10.0000	0.48
λ₂forecast adj.	0.3255	1.05
λ₃tau persistence	0.5540	1.03

Parameter	Value	t-statistic
m window Rolling window length	91
α ARCH Response to squared shocks	0.1621	3.66***
β GARCH Volatility persistence	0.7473	16.66***
γ leverage Additional response to negative shocks	-0.0292	-0.44
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.48
λ₂ forecast adj. Forecast performance sensitivity	0.3255	1.05
λ₃ tau persistence Long-term factor persistence	0.5540	1.03

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Range International Limited MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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