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	2.0595	1.73*
αARCH	0.0569	5.00***
βGARCH	0.9821	78.15***
νDF	6.9198	0.86

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0595	1.73*
α ARCH Response to squared shocks	0.0569	5.00***
β GARCH Volatility persistence	0.9821	78.15***
ν DF Student-t tail thickness	6.9198	0.86

V-Lab

Vicinity Centres GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vicinity Centres Analyses