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
m window Rolling window length	56
α ARCH Response to squared shocks	0.2410	23.55***
β GARCH Volatility persistence	0.4913	18.94***
γ leverage Additional response to negative shocks	-0.1007	-6.79***
λ₁ tau intercept Baseline long-term coefficient	3.3164	1.01
λ₂ forecast adj. Forecast performance sensitivity	0.2215	1.27
λ₃ tau persistence Long-term factor persistence	0.7299	3.25***

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Helix Resources Limited MF2-GARCH Volatility Analysis

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