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	3.3825	10.25***
α ARCH Response to squared shocks	0.0778	23.60***
β GARCH Volatility persistence	0.8878	187.49***

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Alice Queen Limited GARCH Volatility Analysis

Date Range:

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