S&P / ASX 200 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1178	12.05***
α ARCH Response to squared shocks	0.0458	9.12***
β GARCH Volatility persistence	0.9581	323.24***
γ leverage Additional response to negative shocks	-0.0078	-0.96

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Range International Limited Asy. MEM Volatility Analysis

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