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	41
αARCH	0.0000	0.00
βGARCH	0.1774	1.30
γleverage	0.4476	1.95*
λ₁tau intercept	0.1801	0.51
λ₂forecast adj.	0.0215	0.63
λ₃tau persistence	0.9339	7.92***

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.1774	1.30
γ leverage Additional response to negative shocks	0.4476	1.95*
λ₁ tau intercept Baseline long-term coefficient	0.1801	0.51
λ₂ forecast adj. Forecast performance sensitivity	0.0215	0.63
λ₃ tau persistence Long-term factor persistence	0.9339	7.92***

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Ventia Services Group Pty Ltd MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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