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

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4693	7.55***
α ARCH Response to squared shocks	0.0829	5.74***
β GARCH Volatility persistence	0.7113	12.13***

γ₁	0.0262	1.01
γ₂	-0.0002	0.00
γ₃	-0.0959	-3.59***
γ₄	0.1839	7.95***
γ₅	-0.2254	-8.74***
γ₆	0.1763	6.24***
γ₇	-0.0623	-2.47**
γ₈	-0.0237	-0.87
γ₉	0.0234	1.03

V-Lab

AGL Energy Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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