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	0.9232	14.23***
α ARCH Response to squared shocks	0.1466	5.87***
β GARCH Volatility persistence	0.7190	17.94***

V-Lab

S&P / ASX 200 Volatility Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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