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	0.8538	2.15**
αARCH	0.1357	3.21***
βGARCH	0.2823	1.12
γleverage	0.8907	3.10***
δpower	0.5573	1.41

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8538	2.15**
α ARCH Response to squared shocks	0.1357	3.21***
β GARCH Volatility persistence	0.2823	1.12
γ leverage Additional response to negative shocks	0.8907	3.10***
δ power Transformation power	0.5573	1.41

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Storage King Group APARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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