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	1.6737	5.87***
α ARCH Response to squared shocks	0.1100	5.43***
β GARCH Volatility persistence	0.7633	19.23***

γ₁	0.1664	1.71*
γ₂	-0.2568	-1.55
γ₃	0.2425	2.21**
γ₄	-0.2940	-4.09***
γ₅	0.1674	2.57**
γ₆	-0.0012	-0.02
γ₇	-0.0401	-0.55
γ₈	0.0270	0.57

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Prescient Therapeutics Limited Zero Slope Spline-GARCH Volatility Analysis

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