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
ω const Unconditional variance weight	0.8771	7.28***
α ARCH Response to squared shocks	0.1083	3.86***
β GARCH Volatility persistence	0.5502	4.70***

γ₁	-0.1087	-0.38
γ₂	-0.2308	-0.54
γ₃	0.7887	3.02***
γ₄	-0.4736	-1.86*
γ₅	-0.2566	-0.89
γ₆	0.8375	1.82*

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Nodestream Ltd Spline-GARCH Volatility Analysis

Date Range:

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