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	0.0170	29.90***
α ARCH Response to squared shocks	0.0731	21.75***
β GARCH Volatility persistence	0.8392	315.95***
γ leverage Additional response to negative shocks	0.1329	22.61***

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S&P/ASX 200 Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P/ASX 200 Analyses