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	51
α ARCH Response to squared shocks	0.1477	21.65***
β GARCH Volatility persistence	0.5804	34.36***
γ leverage Additional response to negative shocks	-0.0236	-2.12**
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.45
λ₂ forecast adj. Forecast performance sensitivity	0.9088	2.07**
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Pilbara Gold Ltd MF2-GARCH Volatility Analysis

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