S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	5.86***
α ARCH Response to squared shocks	0.0584	26.11***
β GARCH Volatility persistence	0.9343	399.97***
γ leverage Additional response to negative shocks	0.0040	0.18
δ power Transformation power	1.9170	31.11***

V-Lab

Alice Queen Limited Asy. Power MEM Volatility Analysis

Date Range:

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Volatility Forecast

Parameter Estimates

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