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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	13.4946
α ARCH Response to squared shocks	0.3868
β GARCH Volatility persistence	0.4926

γ₁	-40.0102
γ₂	-23.6965
γ₃	156.4138
γ₄	51.4723
γ₅	-357.3807
γ₆	-22.3657
γ₇	1,051.9670
γ₈	-1,403.3290
γ₉	675.0491
γ₁₀	-55.2494

V-Lab

Everflow Resources Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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