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	7.0261	27.51***
α ARCH Response to squared shocks	0.1577	25.30***
β GARCH Volatility persistence	0.6903	91.38***
γ leverage Additional response to negative shocks	-0.9504	-3.88***

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S&P / ASX 200 Volatility Index AGARCH Volatility Analysis

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