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
mwindow	26
αARCH	0.0436	2.59***
βGARCH	0.7583	11.18***
γleverage	0.0419	1.31
λ₁tau intercept	0.0102	1.80*
λ₂forecast adj.	0.0313	3.58***
λ₃tau persistence	0.9621	91.36***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0436	2.59***
β GARCH Volatility persistence	0.7583	11.18***
γ leverage Additional response to negative shocks	0.0419	1.31
λ₁ tau intercept Baseline long-term coefficient	0.0102	1.80*
λ₂ forecast adj. Forecast performance sensitivity	0.0313	3.58***
λ₃ tau persistence Long-term factor persistence	0.9621	91.36***

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Region Group MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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