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	2,681.0150	11.91***
α ARCH Response to squared shocks	0.1210	32.19***
β GARCH Volatility persistence	0.8574	74.02***
ν DF Student-t tail thickness	2.0121	1,445.46***

V-Lab

Helix Resources Limited GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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