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	1.1350	5.97***
α ARCH Response to squared shocks	0.0441	3.53***
β GARCH Volatility persistence	0.8790	20.98***

γ₁	0.2626	0.69
γ₂	-0.0111	-0.02
γ₃	-0.8453	-2.05**
γ₄	1.1894	3.19***
γ₅	-0.6646	-1.34
γ₆	-0.4040	-0.65
γ₇	0.8241	1.93*
γ₈	-0.0307	-0.08
γ₉	-0.9984	-2.11**
γ₁₀	0.9876	2.94***

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GCM Corp Ltd Zero Slope Spline-GARCH Volatility Analysis

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