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	0.6827	5.21***
α ARCH Response to squared shocks	0.0732	6.22***
β GARCH Volatility persistence	0.8980	54.18***

γ₁	-0.0712	-2.02**
γ₂	0.1396	2.28**
γ₃	-0.1350	-2.44**
γ₄	0.0688	1.53
γ₅	0.0329	1.08
γ₆	-0.0475	-2.26**

V-Lab

Pilbara Gold Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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