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	101
α ARCH Response to squared shocks	0.1416	17.57***
β GARCH Volatility persistence	0.6566	38.82***
γ leverage Additional response to negative shocks	0.0163	0.91
λ₁ tau intercept Baseline long-term coefficient	4.5968	0.60
λ₂ forecast adj. Forecast performance sensitivity	0.0782	0.60
λ₃ tau persistence Long-term factor persistence	0.8211	2.75***

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S&P / ASX 200 Volatility Index MF2-GARCH Volatility Analysis

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