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	1.6594	8.28***
αARCH	0.1186	7.04***
βGARCH	0.7042	18.46***

γ₁	-0.3161	-4.89***
γ₂	0.4870	4.54***
γ₃	-0.2479	-3.04***
γ₄	0.1903	3.08***
γ₅	-0.2277	-4.33***
γ₆	0.2172	4.24***
γ₇	-0.1363	-2.65***
γ₈	0.0241	0.44
γ₉	0.0135	0.29

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6594	8.28***
α ARCH Response to squared shocks	0.1186	7.04***
β GARCH Volatility persistence	0.7042	18.46***

γ₁	-0.3161	-4.89***
γ₂	0.4870	4.54***
γ₃	-0.2479	-3.04***
γ₄	0.1903	3.08***
γ₅	-0.2277	-4.33***
γ₆	0.2172	4.24***
γ₇	-0.1363	-2.65***
γ₈	0.0241	0.44
γ₉	0.0135	0.29

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