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	126
αARCH	0.0470	3.25***
βGARCH	0.9045	44.64***
γleverage	0.0327	1.35
λ₁tau intercept	3.9525	1.64
λ₂forecast adj.	1.0000	13.83***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	126
α ARCH Response to squared shocks	0.0470	3.25***
β GARCH Volatility persistence	0.9045	44.64***
γ leverage Additional response to negative shocks	0.0327	1.35
λ₁ tau intercept Baseline long-term coefficient	3.9525	1.64
λ₂ forecast adj. Forecast performance sensitivity	1.0000	13.83***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Spenda Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Spenda Ltd Analyses