S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	60.6538
αARCH	0.4217
βGARCH	0.5783

γ₁	87.4479
γ₂	-87.3990
γ₃	49.9680
γ₄	-168.2916
γ₅	175.2655
γ₆	135.9234
γ₇	-1,151.1989
γ₈	2,676.5615
γ₉	-2,653.1665
γ₁₀	953.6221

Parameter	Value	t-statistic
ω const Unconditional variance weight	60.6538
α ARCH Response to squared shocks	0.4217
β GARCH Volatility persistence	0.5783

γ₁	87.4479
γ₂	-87.3990
γ₃	49.9680
γ₄	-168.2916
γ₅	175.2655
γ₆	135.9234
γ₇	-1,151.1989
γ₈	2,676.5615
γ₉	-2,653.1665
γ₁₀	953.6221

V-Lab

Range International Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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