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	1.1354	5.98***
α ARCH Response to squared shocks	0.0443	3.55***
β GARCH Volatility persistence	0.8781	20.90***

γ₁	0.2664	0.70
γ₂	-0.0255	-0.04
γ₃	-0.8205	-2.01**
γ₄	1.1656	3.14***
γ₅	-0.6529	-1.31
γ₆	-0.4127	-0.65
γ₇	0.8528	1.91*
γ₈	-0.0755	-0.21
γ₉	-0.9783	-2.09**
γ₁₀	1.0003	2.95***

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GCM Corp Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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