S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

How volatility evolves over time

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{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	4.4441	0.57
αARCH	0.0196	0.80
βGARCH	0.9803	44.64***
νDF	3.2810	0.54

Parameter	Value	t-statistic
ω const Unconditional variance weight	4.4441	0.57
α ARCH Response to squared shocks	0.0196	0.80
β GARCH Volatility persistence	0.9803	44.64***
ν DF Student-t tail thickness	3.2810	0.54

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Ventia Services Group Pty Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

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