S&P / ASX 200 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	101
α ARCH Response to squared shocks	0.0809	7.58***
β GARCH Volatility persistence	0.9039	37.26***
γ leverage Additional response to negative shocks	0.0095	0.29
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.16
λ₂ forecast adj. Forecast performance sensitivity	0.8862	0.12
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Everflow Resources Ltd MF2-GARCH Volatility Analysis

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