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	5.0000	20.24***
α ARCH Response to squared shocks	0.1268	13.02***
β GARCH Volatility persistence	0.7611	86.93***
γ leverage Additional response to negative shocks	0.0122	0.53

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S&P / ASX 200 Volatility Index GJR-GARCH Volatility Analysis

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