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	0.5472	2.08**
αARCH	0.2656	3.30***
βGARCH	0.5142	2.52**
γleverage	-0.1762	-2.16**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5472	2.08**
α ARCH Response to squared shocks	0.2656	3.30***
β GARCH Volatility persistence	0.5142	2.52**
γ leverage Additional response to negative shocks	-0.1762	-2.16**

V-Lab

Storage King Group EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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