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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7684	5.32***
α ARCH Response to squared shocks	0.1270	3.85***
β GARCH Volatility persistence	0.4335	3.50***

γ₁	-0.8850	-1.60
γ₂	1.2064	1.55
γ₃	-1.0019	-2.07**
γ₄	1.6413	3.38***
γ₅	-1.2162	-2.37**
γ₆	0.0246	0.05
γ₇	0.4282	0.80
γ₈	-0.3070	-0.69

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Nodestream Ltd Zero Slope Spline-GARCH Volatility Analysis

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