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	1.6654	3.60***
αARCH	0.1628	2.40**
βGARCH	0.1620	1.83*
γleverage	1.6429	2.18**

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6654	3.60***
α ARCH Response to squared shocks	0.1628	2.40**
β GARCH Volatility persistence	0.1620	1.83*
γ leverage Additional response to negative shocks	1.6429	2.18**

V-Lab

Storage King Group AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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