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
ωlong-run	194.0476	1.68*
αscore	0.1170	6.49***
βpersistence	0.9971	630.69***
νDF	15.8011	0.91

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	194.0476	1.68*
α score Weight on the scaled score	0.1170	6.49***
β persistence Volatility persistence	0.9971	630.69***
ν DF Student-t tail thickness	15.8011	0.91

V-Lab

Spenda Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Spenda Ltd Analyses