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	0.0206	22.17***
α ARCH Response to squared shocks	0.0134	6.76***
β GARCH Volatility persistence	0.8944	423.50***
γ leverage Additional response to negative shocks	0.1319	24.31***

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S&P/ASX 200 GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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