S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	1.6941	8.35***
αARCH	0.1190	7.07***
βGARCH	0.7108	19.10***

γ₁	-0.3110	-4.73***
γ₂	0.4805	4.39***
γ₃	-0.2461	-2.96***
γ₄	0.1902	3.03***
γ₅	-0.2277	-4.26***
γ₆	0.2141	4.10***
γ₇	-0.1282	-2.43**
γ₈	0.0131	0.23
γ₉	0.0217	0.46

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6941	8.35***
α ARCH Response to squared shocks	0.1190	7.07***
β GARCH Volatility persistence	0.7108	19.10***

γ₁	-0.3110	-4.73***
γ₂	0.4805	4.39***
γ₃	-0.2461	-2.96***
γ₄	0.1902	3.03***
γ₅	-0.2277	-4.26***
γ₆	0.2141	4.10***
γ₇	-0.1282	-2.43**
γ₈	0.0131	0.23
γ₉	0.0217	0.46

V-Lab

REA Group Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other REA Group Ltd Analyses