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	0.8019	14.11***
α ARCH Response to squared shocks	0.0801	36.52***
β GARCH Volatility persistence	0.9818	643.41***
ν DF Student-t tail thickness	9.5852	4.97***

V-Lab

S&P/ASX 200 GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other S&P/ASX 200 Analyses