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
ωlong-run	4.7226	0.73
αscore	0.0289	1.12
βpersistence	0.9872	70.47***
νDF	5.7936	0.32

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	4.7226	0.73
α score Weight on the scaled score	0.0289	1.12
β persistence Volatility persistence	0.9872	70.47***
ν DF Student-t tail thickness	5.7936	0.32

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

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