S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	2.3099	5.57***
α ARCH Response to squared shocks	0.0478	25.98***
β GARCH Volatility persistence	0.9889	502.73***
ν DF Student-t tail thickness	5.1345	7.54***

V-Lab

AGL Energy Ltd GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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