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	1.1396	6.00***
α ARCH Response to squared shocks	0.0441	3.51***
β GARCH Volatility persistence	0.8786	20.89***

γ₁	0.2675	0.70
γ₂	-0.0130	-0.02
γ₃	-0.8560	-2.08**
γ₄	1.2067	3.24***
γ₅	-0.6827	-1.38
γ₆	-0.3858	-0.62
γ₇	0.7959	1.87*
γ₈	0.0322	0.09
γ₉	-1.1477	-2.39**
γ₁₀	1.3820	2.94***

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GCM Corp Ltd Spline-GARCH Volatility Analysis

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