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	3.3511	12.27***
α ARCH Response to squared shocks	0.0984	17.16***
β GARCH Volatility persistence	0.8556	139.40***

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