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	1.2629	9.20***
α ARCH Response to squared shocks	0.0581	11.10***
β GARCH Volatility persistence	0.9182	248.89***
γ leverage Additional response to negative shocks	0.0071	0.70

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Helix Resources Limited GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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