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	76
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8577	255.41***
γ leverage Additional response to negative shocks	0.1586	46.51***
λ₁ tau intercept Baseline long-term coefficient	0.0093	5.33***
λ₂ forecast adj. Forecast performance sensitivity	0.0714	7.79***
λ₃ tau persistence Long-term factor persistence	0.9163	82.06***

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S&P/ASX 200 MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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