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	1.6225	2.28**
αARCH	0.0404	5.48***
βGARCH	0.9877	165.09***
νDF	9.0690	0.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6225	2.28**
α ARCH Response to squared shocks	0.0404	5.48***
β GARCH Volatility persistence	0.9877	165.09***
ν DF Student-t tail thickness	9.0690	0.54

V-Lab

Region Group GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Region Group Analyses