S&P / ASX 200 Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	86
α ARCH Response to squared shocks	0.2206	21.79***
β GARCH Volatility persistence	0.2075	4.94***
γ leverage Additional response to negative shocks	0.0227	1.52
λ₁ tau intercept Baseline long-term coefficient	1.5930	0.21
λ₂ forecast adj. Forecast performance sensitivity	0.6141	0.20
λ₃ tau persistence Long-term factor persistence	0.1608	0.04

V-Lab

Mercury NZ Limited MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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