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	1.0873	4.76***
αARCH	0.0765	6.88***
βGARCH	0.8857	37.09***

γ₁	0.2109	0.82
γ₂	0.4246	0.98
γ₃	-1.1450	-3.17***
γ₄	1.0860	3.74***
γ₅	-1.6237	-4.68***
γ₆	1.8669	4.14***
γ₇	-1.3624	-2.47**
γ₈	1.0727	2.18**
γ₉	-0.8114	-2.32**
γ₁₀	0.9270	2.58***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0873	4.76***
α ARCH Response to squared shocks	0.0765	6.88***
β GARCH Volatility persistence	0.8857	37.09***

γ₁	0.2109	0.82
γ₂	0.4246	0.98
γ₃	-1.1450	-3.17***
γ₄	1.0860	3.74***
γ₅	-1.6237	-4.68***
γ₆	1.8669	4.14***
γ₇	-1.3624	-2.47**
γ₈	1.0727	2.18**
γ₉	-0.8114	-2.32**
γ₁₀	0.9270	2.58***

V-Lab

Spenda Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Spenda Ltd Analyses