S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0157
α ARCH Response to squared shocks	0.4638
β GARCH Volatility persistence	0.5362

γ₁	-94.7553
γ₂	132.0331
γ₃	36.7825
γ₄	-3.2783
γ₅	-548.0615
γ₆	1,228.1500
γ₇	-1,135.2390
γ₈	377.5357
γ₉	20.8902

V-Lab

Everflow Resources Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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