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	46
αARCH	0.0000	0.00
βGARCH	0.1886	1.39
γleverage	0.4442	1.95*
λ₁tau intercept	0.2031	0.43
λ₂forecast adj.	0.0183	0.54
λ₃tau persistence	0.9297	6.20***

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.1886	1.39
γ leverage Additional response to negative shocks	0.4442	1.95*
λ₁ tau intercept Baseline long-term coefficient	0.2031	0.43
λ₂ forecast adj. Forecast performance sensitivity	0.0183	0.54
λ₃ tau persistence Long-term factor persistence	0.9297	6.20***

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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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