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	1.1431	6.02***
α ARCH Response to squared shocks	0.0443	3.53***
β GARCH Volatility persistence	0.8774	20.68***

γ₁	0.2781	0.74
γ₂	-0.0373	-0.06
γ₃	-0.8266	-2.03**
γ₄	1.1801	3.18***
γ₅	-0.6687	-1.35
γ₆	-0.3975	-0.63
γ₇	0.8297	1.86*
γ₈	-0.0224	-0.06
γ₉	-1.1082	-2.30**
γ₁₀	1.3522	2.82***

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GCM Corp Ltd Spline-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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