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	1.1559	4.72***
α ARCH Response to squared shocks	0.0856	6.24***
β GARCH Volatility persistence	0.9042	115.13***
γ leverage Additional response to negative shocks	0.0187	0.86

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Range International Limited GJR-GARCH Volatility Analysis

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