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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	45.6520	9.46***
α ARCH Response to squared shocks	0.0982	17.05***
β GARCH Volatility persistence	0.9299	119.33***
ν DF Student-t tail thickness	4.5157	6.13***

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

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News Impact Curve

Volatility Forecast

Parameter Estimates

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