SMI Volatility Index

CBOE EFA ETF Volatility Index

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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	1.9734	5.03***
αARCH	0.1193	10.12***
βGARCH	0.7766	46.09***
γleverage	-3.1328	-7.83***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9734	5.03***
α ARCH Response to squared shocks	0.1193	10.12***
β GARCH Volatility persistence	0.7766	46.09***
γ leverage Additional response to negative shocks	-3.1328	-7.83***

V-Lab

SMI Volatility Index AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other SMI Volatility Index Analyses