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	56
αARCH	0.0388	2.66***
βGARCH	0.9022	42.42***
γleverage	0.0283	1.27
λ₁tau intercept	0.0054	0.85
λ₂forecast adj.	0.0096	2.07**
λ₃tau persistence	0.9878	138.16***

Parameter	Value	t-statistic
m window Rolling window length	56
α ARCH Response to squared shocks	0.0388	2.66***
β GARCH Volatility persistence	0.9022	42.42***
γ leverage Additional response to negative shocks	0.0283	1.27
λ₁ tau intercept Baseline long-term coefficient	0.0054	0.85
λ₂ forecast adj. Forecast performance sensitivity	0.0096	2.07**
λ₃ tau persistence Long-term factor persistence	0.9878	138.16***

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Vicinity Centres MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Vicinity Centres Analyses