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	0.7681	5.30***
α ARCH Response to squared shocks	0.1300	3.83***
β GARCH Volatility persistence	0.4164	3.36***

γ₁	-0.9181	-1.63
γ₂	1.2664	1.60
γ₃	-1.0645	-2.16**
γ₄	1.6994	3.44***
γ₅	-1.2419	-2.37**
γ₆	0.0483	0.09
γ₇	0.3639	0.66
γ₈	-0.2392	-0.52

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Nodestream Ltd Zero Slope Spline-GARCH Volatility Analysis

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