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
m window Rolling window length	91
α ARCH Response to squared shocks	0.0785	17.59***
β GARCH Volatility persistence	0.8675	79.37***
γ leverage Additional response to negative shocks	0.0006	0.10
λ₁ tau intercept Baseline long-term coefficient	0.7836	0.97
λ₂ forecast adj. Forecast performance sensitivity	0.0166	1.14
λ₃ tau persistence Long-term factor persistence	0.9751	40.62***

V-Lab

Alice Queen Limited MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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