S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

How volatility evolves over time

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{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	40.5607
αARCH	0.3429
βGARCH	0.6425

γ₁	60.4763
γ₂	-115.1693
γ₃	249.9628
γ₄	-425.3641
γ₅	320.0227
γ₆	44.0013
γ₇	-1,139.2365
γ₈	2,897.4755
γ₉	-3,047.7967
γ₁₀	1,299.3337

Parameter	Value	t-statistic
ω const Unconditional variance weight	40.5607
α ARCH Response to squared shocks	0.3429
β GARCH Volatility persistence	0.6425

γ₁	60.4763
γ₂	-115.1693
γ₃	249.9628
γ₄	-425.3641
γ₅	320.0227
γ₆	44.0013
γ₇	-1,139.2365
γ₈	2,897.4755
γ₉	-3,047.7967
γ₁₀	1,299.3337

V-Lab

Range International Limited Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Range International Limited Analyses